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Uncertainty Shocks as Second-Moment News Shocks
Berger, David - 2017
shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility … economy. Moreover, investors have historically paid large premia to hedge shocks to realized but not implied volatility. A … model in which fundamental shocks are skewed left can match those facts. Aggregate volatility matters, but it is the …
Persistent link: https://www.econbiz.de/10012453915
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Evaluating Policy Counterfactuals : A VAR-Plus Approach
Caravello, Tomás E.; McKay, Alisdair; Wolf, Christian - National Bureau of Economic Research - 2024
In a rich family of linearized structural macroeconomic models, the counterfactual evolution of the macro-economy under alternative policy rules is pinned down by just two objects: first, reduced-form projections with respect to a large information set; and second, the dynamic causal effects of...
Persistent link: https://www.econbiz.de/10015072929
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with … a simple extension of the long-run risk model …
Persistent link: https://www.econbiz.de/10012480268
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Inflation and Real Activity over the Business Cycle
Bianchi, Francesco; Nicolò, Giovanni; Song, Dongho - National Bureau of Economic Research - 2023
We study the relation between inflation and real activity over the business cycle. We employ a Trend-Cycle VAR model to control for low-frequency movements in inflation, unemployment, and growth that are pervasive in the post-WWII period. We show that cyclical fluctuations of inflation are...
Persistent link: https://www.econbiz.de/10014247995
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Stagflation and Topsy-Turvy Capital Flows
Bengui, Julien; Coulibaly, Louphou - National Bureau of Economic Research - 2022
Are unregulated capital flows excessive during a stagflation episode? We argue that they likely are, owing to a macroeconomic externality operating through the economy's supply side. Inflows raise domestic wages through a wealth effect on labor supply and cause unwelcome upward pressure on...
Persistent link: https://www.econbiz.de/10013462700
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Macro-Financial Implications of the Surging Global Demand (and Supply) of International Reserves
Mendoza, Enrique G.; Quadrini, Vincenzo - National Bureau of Economic Research - 2024
(increase) world interest rates but also to increase (reduce) private leverage. This in turn increased (decreased) volatility in …
Persistent link: https://www.econbiz.de/10015056133
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State-Dependent Local Projections : Understanding Impulse Response Heterogeneity
Cloyne, James; Jordà, Òscar; Taylor, Alan M. - National Bureau of Economic Research - 2023
An impulse response is the dynamic average effect of an intervention across horizons. We use the well-known Kitagawa-Blinder-Oaxaca decomposition to explore a response's heterogeneity over time and over states of the economy. This can be implemented with a simple extension to the usual local...
Persistent link: https://www.econbiz.de/10014226168
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Sign Restrictions in Bayesian FaVARs with an Application to Monetary Policy Shocks
Ahmadi, Pooyan Amir - 2015
We propose a novel identification strategy of imposing sign restrictions directly on the impulse responses of a large set of variables in a Bayesian factor-augmented vector autoregression. We conceptualize and formalize conditions under which every additional sign restriction imposed can be...
Persistent link: https://www.econbiz.de/10012456932
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The Common Origin of Uncertainty Shocks
Kozeniauskas, Nicholas - 2016
their empirical counterparts. Our findings suggest that time-varying disaster risk and the many types of uncertainty shocks …
Persistent link: https://www.econbiz.de/10012456293
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Sources of Real Exchange Rate Fluctuations : How Important are Nominal Shocks?
Clarida, Richard - 1994
This paper investigates empirically and attempts to identify the sources of real exchange rate fluctuations since the collapse of Bretton Woods. The paper's first two sections survey and extend earlier, non-structural empirical work on this subject by Campbell and Clarida (1987), Meese and...
Persistent link: https://www.econbiz.de/10012474278