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The Impact of Uncertainty Shocks
Bloom, Nicholas - 2007
oil-price shock and the 9/11 terrorist attack. This paper offers a structural framework to analyze the impact of these … data. The parameterized model is then used to simulate a macro uncertainty shock, which produces a rapid drop and rebound … medium term the increased volatility from the shock induces an overshoot in output, employment and productivity. Thus, second …
Persistent link: https://www.econbiz.de/10012465265
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Implications of Dynamic Factor Models for VAR Analysis
Stock, James H. - 2005
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/10012467213
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Monetary Policy in a Data-Rich Environment
Bernanke, Ben - 2001
Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the...
Persistent link: https://www.econbiz.de/10012470341
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Asset Prices and Aggregate Demand in a "Covid-19" Shock : A Model of Endogenous Risk Intolerance and LSAPs
Caballero, Ricardo J. - 2020
addressing these contractions. The key mechanism stems from heterogeneous risk tolerance: as a recessionary shock hits the …In this paper we: (i) provide a model of the endogenous risk intolerance and severe aggregate demand contractions … following a large real (non-financial) shock; and (ii) demonstrate the effectiveness of Large Scale Asset Purchases (LSAPs) in …
Persistent link: https://www.econbiz.de/10012482001
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Liquidity and Foreign Asset Management Challenges for Latin American Countries
Aizenman, Joshua - 2014
-2007 period. While the stock of reserves fails to smooth the transmission of CTOT shocks to REER during the Global Financial …
Persistent link: https://www.econbiz.de/10012458019
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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/10012453915
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The Macroeconomic Impact of Financial and Uncertainty Shocks
Caldara, Dario - 2016
The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically...
Persistent link: https://www.econbiz.de/10012456616
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From Great Depression to Great Credit Crisis : Similarities, Differences and Lessons
Almunia, Miguel - 2009
The Great Depression of the 1930s and the Great Credit Crisis of the 2000s had similar causes but elicited strikingly different policy responses. It may still be too early to assess the effectiveness of current policy responses, but it is possible to analyze monetary and fiscal policies in the...
Persistent link: https://www.econbiz.de/10012463125
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Macro-Economic Adjustment With Import Price Shocks : Real and Monetary Aspects
Bruno, Michael - 1979
economies in the 1970's -- the unprecedented rise in raw materials prices, in particular the oil price shock, and the …
Persistent link: https://www.econbiz.de/10012478808
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Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
Faust, Jon - 2003
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/10012469038