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Policy risk and the business cycle
Born, Benjamin; Pfeifer, Johannes - 2013 - This version: July 11, 2013, First Version: December 2010
The argument that policy risk, i.e., uncertainty about monetary and fiscal policy, has been holding back the economic … recovery in the U.S. during the Great Recession has a large popular appeal. We analyze the role of policy risk in explaining … business cycle fluctuations by using an estimated New Keynesian model featuring policy risk as well as uncertainty about …
Persistent link: https://www.econbiz.de/10009772961
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Uncertainty and fiscal policy in an asymmetric monetary union
Hefeker, Carsten (contributor); Zimmer, Blandine (contributor) - 2008
The paper examines the monetary-fiscal interactions in a monetary union model with uncertainty due to imperfect central bank transparency. We first show that monetary uncertainty disciplines fiscal policymakers and thereby reduces taxes, average inflation and output distortions. However, as more...
Persistent link: https://www.econbiz.de/10003749682
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Uncertainty, wage setting and decision making in a monetary union
Hefeker, Carsten (contributor) - 2005
The enlargement of the European Monetary Union is likely to lead to an increase in uncertainty regarding the transmission of monetary policy for the larger union. Adding new members to the central bank council will in addition imply that the policy reaction of the enlarged council will be...
Persistent link: https://www.econbiz.de/10003110104
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Policy coordination under model disagreement and uncertainty
Hefeker, Carsten; Neugart, Michael - 2019
What are the incentives for governments to coordinate their policies internationally when there is model disagreement and uncertainty? We build a model where countries disagree on policy targets and how policies affect the economies, and show that uncertainty not only determines the type of...
Persistent link: https://www.econbiz.de/10011966668
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Risk management-driven policy rate gap
Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela - 2018
-Bernanke period only. Focusing on this period, the "risk-management" approach is found to be responsible for monetary policy easings …
Persistent link: https://www.econbiz.de/10011884396
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Monetary policy and wealth effects : the role of risk and heterogeneity
Caramp, Nicolas; Silva, Dejanir H. - 2024
-agents model with two main ingredients: i) rare disasters; ii) heterogeneous beliefs. The model captures time-varying risk premia …
Persistent link: https://www.econbiz.de/10014514921
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Behavioral New Keynesian models : learning vs. cognitive discounting
Meggiorini, Greta; Milani, Fabio - 2021
This paper estimates a New Keynesian model with new and old behavioral elements. Agents in the model exhibit cognitive discounting, or myopia: they discount variables far into the future at higher rates than typically implied in the benchmark model. We investigate the model under different...
Persistent link: https://www.econbiz.de/10012509319
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Uncertainty and monetary policy during the great recession
Pellegrino, Giovanni; Castelnuovo, Efrem; Caggiano, Giovanni - 2021
We employ a nonlinear VAR framework and a state-of-the-art identification strategy to document the large response of real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this evidence with an estimated DSGE framework featuring a concept...
Persistent link: https://www.econbiz.de/10012495676
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The asymmetric impact of economic policy and oil price uncertainty on inflation : evidence from developed and emerging economies
Anderl, Christina; Caporale, Guglielmo Maria - 2023
This paper examines the asymmetric impact of economic policy uncertainty (EPU) and oil price uncertainty (OPU) on inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the 1990s until August 2022 for a number of developed and...
Persistent link: https://www.econbiz.de/10013543029
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An unconventional FX tail risk story
Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023
We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …
Persistent link: https://www.econbiz.de/10014336426