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We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and...
Persistent link: https://www.econbiz.de/10011928806
higher income and higher levels of consumption are affected more by this shock than households located towards the lower end … effect of this shock on aggregate output. …
Persistent link: https://www.econbiz.de/10011867783