Los efectos de la presión de la cadena de suministro global sobre el sentimiento, las expectativas y la incertidumbre: un enfoque VAR
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Este trabajo estudia el vínculo entre la presión de la cadena de suministro global y el sentimiento del consumidor, las expectativas de inflación y la incertidumbre de la política monetaria en los Estados Unidos. Se emplea una muestra de enero de 1998 a enero de 2024, y el trabajo sigue un enfoque VAR (vectorial autorregresivo) basado en el método propuesto por Toda y Yamamoto (1995). La prueba de causalidad de Granger sugiere que las predicciones de la expectativa de inflación basadas en sus propios valores pasados y los valores pasados de la presión de la cadena de suministro global son mejores predicciones de la expectativa de inflación que el uso exclusivo de las observaciones pasadas de la expectativa de inflación. En contraste, las funciones de impulso respuesta sugieren que los aumentos sorpresivos en la presión de la cadena de suministro global conducen a aumentos de las expectativas de inflación y de la incertidumbre de la política monetaria; los efectos de este shock duran hasta dos años. Mientras tanto, las funciones de impulso respuesta sugieren que los aumentos sorpresivos en la presión de la cadena de suministro global disminuyen el sentimiento del consumidor (confianza), y estos efectos duran hasta dos años y medio. Después, el impacto converge de nuevo a cero. Además, los resultados de la descomposición de la varianza sugieren que, en el período final, los impulsos de la presión de la cadena de suministro global explican más del 22%, el 7% y el 44% de la variación del sentimiento del consumidor, la incertidumbre de la política monetaria y las expectativas de inflación, respectivamente.
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