Leïla Van Keirsbilck (LIDAM. CORE)

The transmission of shocks across sectors and the dynamics of sectoral prices

This paper explores the dynamics of U.S. sectoral producer prices in a large Bayesian vector autoregressive (BVAR) model that uses the Input-Output matrix and the Investment Flow matrix to inform the prior. We first validate our model by comparing its performance in terms of forecasting headline inflation. We then analyze the effects of sectoral and aggregate shocks, identified via external instruments, on different sectoral prices and on aggregate variables. Our contribute to a deeper understanding of sectoral price dynamics, offering insights for monetary and fiscal policy decisions in the face of inflationary pressures.

  Leïla Van Keirsbilck