Uncertainty shocks, banking frictions, and economic activity

by Dario Bonciani and Björn van Roye

In this paper we investigate the effects of uncertainty shocks on economic activity using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty shocks on economic activity. This amplification channel stems mainly from the stickiness in banking retail interest rates. This stickiness reduces the effectiveness in the transmission mechanism of monetary policy.

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Year of publication:	2013
Authors:	Bonciani, Dario ; Roye, Björn van
Publisher:	Kiel : Kiel Inst. for the World Economy
Subject:	Uncertainty Shocks \| Financial frictions \| Monetary Policy \| Stochastic Volatility \| Perturbation Methods \| Third-order approximation \| Schock \| Shock \| Geldpolitik \| Monetary policy \| Risiko \| Risk \| Theorie \| Theory \| Finanzkrise \| Financial crisis \| Konjunktur \| Business cycle \| Volatilität \| Volatility \| Dynamisches Gleichgewicht \| Dynamic equilibrium \| Finanzmarkt \| Financial market

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Extent:	Online-Ressource (44 S.)
Series:	Kiel working paper. - Kiel : [Verlag nicht ermittelbar], ISSN 1862-1155, ZDB-ID 2107612-1. - Vol. 1843
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/76718 [Handle]
Classification:	E32 - Business Fluctuations; Cycles ; E52 - Monetary Policy (Targets, Instruments, and Effects)
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009761866