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Interest Rate Surprises : A Tale of Two Shocks

Nunes, Ricardo Cavaco; Ozdagli, Ali; Tang, Jenny - 2022

policy shock) and interest rate movements driven by exogenous information about the economy from the central bank (the … information shock). In order to disentangle the effects of these two shocks, we use interest rate changes on days of macroeconomic …

Persistent link: https://www.econbiz.de/10013492595

Forward guidance and the state of the economy

Keen, Benjamin D.; Richter, Alexander W.; Throckmorton, … - 2016 - This draft: May 19, 2016

guidance. Forward guidance via a news shock is less stimulative than an unanticipated monetary policy shock around the steady … state, but a news shock is more stimulative near the ZLB and always has a larger cumulative effect on output. When the …

Persistent link: https://www.econbiz.de/10011567922

Do monetary policy announcements shift household expectations?

Lewis, Daniel J.; Makridis, Christos A.; Mertens, Karel - 2019

We use daily survey data from Gallup to assess whether households' beliefs about economic conditions are influenced by surprises in monetary policy announcements. We first provide more general evidence that public confidence in the state of the economy reacts to certain types of macroeconomic...

Persistent link: https://www.econbiz.de/10012227486

The Returns to Government R&D : Evidence from U.S. Appropriations Shocks

Fieldhouse, Andrew; Mertens, Karel - 2023

We estimate the causal impact of government-funded R&D on business-sector productivity growth. Identification is based on a novel narrative classification of all significant postwar changes in appropriations for R&D funded by five major federal agencies. Using long-horizon local projections and...

Persistent link: https://www.econbiz.de/10014356611

Jointly Estimating Macroeconomic News and Surprise Shocks

Kilian, Lutz; Plante, Michael; Richter, Alexander W. - 2023

This paper clarifies the conditions under which the state-of-the-art approach to identifying TFP news shocks in Kurmann and Sims (2021, KS) identifies not only news shocks but also surprise shocks. We examine the ability of the KS procedure to recover responses to these shocks from data...

Persistent link: https://www.econbiz.de/10014357201

Comment on Giacomini, Kitagawa and Read's 'Narrative Restrictions and Proxies'

Kilian, Lutz - 2021

In a series of recent studies, Raffaella Giacomini and Toru Kitagawa have developed an innovative new methodological approach to estimating sign-identified structural VAR models that seeks to build a bridge between Bayesian and frequentist approaches in the literature. Their latest paper with...

Persistent link: https://www.econbiz.de/10013310356

Uncertainty, Shock Prices and Debt Structure : Evidence from the U.S.-China Trade War

Ozdagli, Ali K.; Wang, Jianlin - 2022

Using the recent U.S.-China trade war as a laboratory, we show that policy uncertainty shocks have a significant impact on stock prices. This impact is less negative for firms that heavily rely on bank debt whereas non-bank debt does not have a mitigating effect. Moreover, the mitigating effect...

Persistent link: https://www.econbiz.de/10013492596

The Role of the Prior in Estimating VAR Models with Sign Restrictions

Inoue, Atsushi; Kilian, Lutz - 2020

Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR models may be unintentionally informative about the implied prior for the structural impulse responses. This question is indeed important, but we show that the tools that have...

Persistent link: https://www.econbiz.de/10014090346

What drives commodity price booms and busts?

Jacks, David S.; Stürmer, Martin - 2016

type of shock driving prices of the various types of commodities and relate these differences to commodity types which …

Persistent link: https://www.econbiz.de/10011567929

Uncertainty Shocks in a Model of Effective Demand : Comment

Richter, Alexander W.; De Groot, Oliver; Throckmorton, … - 2018

Basu and Bundick (2017) show a second moment intertemporal preference shock creates meaningful declines in output in a … sticky price model with Epstein and Zin (1991) preferences. The result, however, rests on the way they model the shock. If a … preference shock is included in Epstein-Zin preferences, the distributional weights on current and future utility must sum to 1 …

Persistent link: https://www.econbiz.de/10014121010