Similar Search Results

Reconciling narrative monetary policy disturbances with structural VAR model shocks?

Kliem, Martin; Kriwoluzky, Alexander - 2013

investigate whether employing the narrative monetary shock account as a proxy variable in a VAR model aligns both shock series. We …

Persistent link: https://www.econbiz.de/10009771126

Disagreement and monetary policy

Falck, Elisabeth; Hoffmann, Mathias; Hürtgen, Patrick - 2017

dispersed information New Keynesian model predicts that a contractionary monetary policy shock leads to a short-run rise in ….S. data shows significantly different responses in inflation and inflation expectations consistent with theory. …

Persistent link: https://www.econbiz.de/10011740252

Do exchange rates absorb demand shocks at the ZLB?

Hoffmann, Mathias; Hürtgen, Patrick - 2021

appreciates in response to an asymmetric negative demand shock at the zero lower bound (ZLB) and exacerbates the adverse … at the ZLB. In sharp contrast to the full information model: (i) A negative demand shock concentrated in the home country … causes a real exchange rate depreciation that partially absorbs the demand shock. (ii) A VAR with an identified demand shock …

Persistent link: https://www.econbiz.de/10012510174

Product turnover and endogenous price flexibility in uncertain times

Khalil, Makram; Lewis, Vivien - 2024

Price setting has become more flexible following a string of large adverse shocks (Covid-19, the Ukraine War). We argue that a shift to a high-uncertainty regime incentivizes firms to invest in their ability to adjust prices. We formalize this idea in a general equilibrium model with endogenous...

Persistent link: https://www.econbiz.de/10014558815

(Un)expected monetary policy shocks and term premia

Kliem, Martin; Meyer-Gohde, Alexander - 2017

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...

Persistent link: https://www.econbiz.de/10011740263

On household labour supply in sticky-wage HANK models

Gerke, Rafael; Giesen, Sebastian; Lozej, Matija; … - 2024 - November 24, 2023

Heterogeneous-agent New Keynesian models with sticky nominal wages usually assume that wage-setting unions demand the same amount of hours from all households. As a result, unions do not take account of the fact that (i) households are heterogeneous in their willingness to work, and that (ii)...

Persistent link: https://www.econbiz.de/10014467926

Macroeconomic and financial effects of natural disasters

Eickmeier, Sandra; Quast, Josefine; Schüler, Yves - 2024

We examine how the occurrence of natural disasters impact the US economy and financial markets using monthly data since 2000. Our analysis reveals large sustained adverse effects of disasters on overall economic activity, with significant implications across various sectors including labor,...

Persistent link: https://www.econbiz.de/10015205420

Measuring the UK short-run NAIRU

Batini, Nicoletta; Greenslade, Jennifer V. - 2003

This paper derives alternative measures of the short-run NAIRU (SRN) for the UK, the rate for unemployment at which inflation will neither increase nor decrease in the short-run. We estimate the NAIRU jointly with price equations by using the Kalman filter. Our work suggests that both structural...

Persistent link: https://www.econbiz.de/10011517881

Financial frictions and global spillovers

Metiu, Norbert; Hilberg, Björn; Grill, Michael - 2015

We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...

Persistent link: https://www.econbiz.de/10010493885

Growth expectations, undue optimism, and short-run fluctuations

Enders, Zeno; Kleemann, Michael; Müller, Gernot J. - 2017

and the real-time prediction of professional forecasters. We find that optimism shocks - in line with theory - generate a …

Persistent link: https://www.econbiz.de/10011649164