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Monetary Policy Uncertainty and Economic Fluctuations

Creal, Drew - 2014

react in opposite directions to a shock to the real economy, and the response of inflation to uncertainty shocks vary across …

Persistent link: https://www.econbiz.de/10013045286

Accounting for Post-Crisis Inflation and Employment : A Retro Analysis

Fratto, Chiara - 2014

What accounts for inflation after 2008? We use the prominent pre-crisis Smets-Wouters (2007) model to address this … question. We find that due to price markup shocks alone inflation would have been 1% higher than observed and 0.5% higher that … responsible for the slow recovery of employment, though not for the initial drop. Monetary policy shocks predict an inflation rate …

Persistent link: https://www.econbiz.de/10013040539

Uncertainty Shocks as Second-Moment News Shocks

Berger, David - 2017

We provide evidence on the relationship between aggregate uncertainty and the macroeconomy. Identifying uncertainty shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility are robustly followed by contractions, while shocks to...

Persistent link: https://www.econbiz.de/10012948093

Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data

Faust, Jon; Rogers, John H.; Swanson, Eric T.; Wright, … - 2021

This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of Fed Funds futures contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy...

Persistent link: https://www.econbiz.de/10013226543

Identification and the Liquidity Effect of a Monetary Policy Shock

Christiano, Lawrence J.; Eichenbaum, Martin S. - 2021

Conventional wisdom holds that unanticipated expansionary monetary policy shocks cause transient but persistent decreases in real and nominal interest rates. However a number of econometric studies argue that the evidence favors the opposite view, namely that these shocks actually raise, rather...

Persistent link: https://www.econbiz.de/10013239154

Are the Effects of Monetary Policy Shocks Big or Small?

Coibion, Olivier - 2011

are consistent across approaches and most likely medium. Alternative monetary policy shock measures from estimated Taylor …

Persistent link: https://www.econbiz.de/10013125566

Letting Different Views About Business Cycles Compete

Beaudry, Paul - 2010

preference or more generally a demand shock. More recently two other explanations have been advocated: surprise changes in …

Persistent link: https://www.econbiz.de/10013152795

Thirty Years of Currency Crises in Argentina : External Shocks or Domestic Fragility?

Kaminsky, Graciela L. - 2009

This paper examines Argentina's currency crises from 1970 to 2001, with particular attention to the role of domestic and external factors. Using VAR estimations, we find that deteriorating domestic fundamentals matter. For example, at the core of the late 1980s crises was excessively loose...

Persistent link: https://www.econbiz.de/10013155025

Capital Flows and the Risk-Taking Channel of Monetary Policy

Bruno, Valentina - 2013

linchpin in the monetary transmission mechanism that works through fluctuations in risk-taking. Motivated by the evidence, we … formulate a model of the "risk-taking channel" of monetary policy in the international context that rests on the feedback loop …

Persistent link: https://www.econbiz.de/10013083802

Implications of Dynamic Factor Models for VAR Analysis

Stock, James H.; Watson, Mark W. - 2022

This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based...

Persistent link: https://www.econbiz.de/10013322868