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Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and … Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard …

Persistent link: https://www.econbiz.de/10011389786

Dynamic effects of persistent shocks

Alloza, Mario; Gonzalo Muñoz, Jesus; Sanz, Carlos - 2019

Persistent link: https://www.econbiz.de/10012158755

The nonlinear effects of uncertainty shocks

Jackson, Laura; Kliesen, Kevin L.; Owyang, Michael T. - 2018

Persistent link: https://www.econbiz.de/10011950514

Factor augmented vector-autoregression with narrative identification : an application to monetary policy in the US

De Nora, Giorgia - 2021

the models parameters. I estimate the effects of a monetary policy shock in the United States using the proposed algorithm …

Persistent link: https://www.econbiz.de/10012798851

Forward guidance matters : disentangling monetary policy shocks

Ferreira, Leonardo Nogueira - 2020

Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...

Persistent link: https://www.econbiz.de/10012295693

The impact of monetary policy on inequality in the UK : an empirical analysis

Mumtaz, Haroon; Theophilopoulou, Angeliki - 2016

The UK has experienced a dramatic increase in earnings and income inequality over the past four decades. We use detailed micro level information to construct quarterly historical measures of inequality from 1969 to 2012. We investigate whether monetary policy shocks played a role in explaining...

Persistent link: https://www.econbiz.de/10011431334

Effects of monetary policy shocks on UK regional activity : a constrained MFVAR approach

Mandalinci, Zeyyad - 2015

This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...

Persistent link: https://www.econbiz.de/10011372798