Assessing the role of uncertainty shocks in the macroeconomy: The behavior of model-consistent wage and price markups

• Project/Area Number: 24K16357
• Research Category: Grant-in-Aid for Early-Career Scientists
• Allocation Type: Multi-year Fund
• Review Section: Basic Section 07040:Economic policy-related
• Research Institution: Hitotsubashi University
• Principal Investigator: Baiaman・Kyzy Elnura 一橋大学, 社会科学高等研究院, 特任講師 (90990440)
• Project Period (FY): 2024-04-01 – 2027-03-31
• Project Status: Granted (Fiscal Year 2024)
• Budget Amount: ¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000); Fiscal Year 2026: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000); Fiscal Year 2025: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000); Fiscal Year 2024: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
• Keywords: uncertainty shocks / DSGE model / markup channel / price markup / wage markup

Outline of Research at the Start

Amid COVID-19 and the Russia-Ukraine conflict, economic uncertainties arise regarding fiscal and monetary policies. My research project will provide an in-depth analysis of uncertainty about policy shocks. By modeling uncertainty shocks as stochastic volatility, I aim to understand their effects on macroeconomic variables and the behavior of wage and price markups. This project addresses two central questions: How do fiscal and monetary uncertainty shocks affect the economy? And what are the roles of price and markup channels in an uncertainty-driven economy within an estimated NK DSGE model?