The Effects of Global Supply Chain Pressure on Sentiment, Expectation, and Uncertainty: A VAR Approach

Main Article Content

Héctor Romero-Ramírez
https://orcid.org/0000-0002-0765-9524

Abstract

This paper studies the relationship of global supply chain pressure with consumer sentiment, inflation expectation, and monetary policy uncertainty in the United States. A sample from January 1998 to January 2024 is used, and this paper uses a Vector Autoregression (VAR) approach based on the method proposed by Toda and Yamamoto (1995). The Granger causality test suggests that the predictions of inflation expectation based on its own past values and the past values of the global supply chain pressure are better predictions of inflation expectation than just using the past observations of inflation expectation. In contrast, Impulse Response Functions suggest that surprise increases in  global supply chain pressure lead to increased inflation expectation and monetary policy uncertainty; this shock lasts up to two years. Meanwhile, the Impulse Response Functions suggest that surprise increases in the global supply chain pressure decrease consumer sentiment (confidence), lasting up to two and a half years. Afterward, the impact converges back to zero. Additionally, the Variance Decomposition results suggest that by the final period, the impulses of the global supply chain pressure explain over 22%, 7%, and 44% of the variation of consumer sentiment, monetary policy uncertainty, and inflation expectation, respectively.

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How to Cite
Romero-Ramírez, H. (2024). The Effects of Global Supply Chain Pressure on Sentiment, Expectation, and Uncertainty: A VAR Approach. The Anáhuac Journal, 24(2), Pág. 1–25. https://doi.org/10.36105/theanahuacjour.2024v24n2.2515
Section
Artículos
Author Biography

Héctor Romero-Ramírez, Federal Reserve Bank of San Francisco, USA

Héctor Romero-Ramírez holds a Master’s in Economics from the University of Puerto Rico, Río Piedras. He is also an alumnus of the American Economic Association Summer Program, where he took doctoral courses at Howard University. Additionally, he has worked as an Economic Advisor to the Finance Committee of the Senate of Puerto Rico and as a Research Associate at the Federal Reserve Bank of San Francisco. Romero-Ramírez is the author of papers published in peer-reviewed journals.

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