Uncertainty and inflation: The role of COVID-19 stabilisation policies-Evidence from OECD countries

This paper makes use of a time-varying parameter VAR (TVP-VAR) with stochastic volatility using OECD data to explore the impact of the uncertainty associated with COVID-19 stabilization shocks on inflation. The findings document that the response of inflation is primarily positive, implying that such uncertainty shocks propagate like aggregate supply shocks with the results remaining robust under alternative uncertainty shocks and inflation metrics.