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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...

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

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2018

We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and...

Persistent link: https://www.econbiz.de/10011928806

Fiscal sustainability and policy interactions

Bianchi, Francesco; Callegari, Giovanni; Hitaj, Ermal; … - 2024

We build a model to study the interaction between default risk, policy changes, and financial frictions within a monetary union. The model features a centralised central bank and decentralised fiscal authorities. Countries have different reputations for fiscal stability, modelled as different...

Persistent link: https://www.econbiz.de/10015193948

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

Persistent link: https://www.econbiz.de/10011460767

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2018

Persistent link: https://www.econbiz.de/10012429974

Precautionary liquidity shocks, excess reserves and business cycles

Bratsiotis, George; Theodoridis, Konstantinos - 2020

This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous change in financial intermediaries' preference for "high"...

Persistent link: https://www.econbiz.de/10012876010

Precautionary Liquidity Shocks, Excess Reserves and Business Cycles

Bratsiotis, George J.; Theodoridis, Konstantinos - 2021

This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance restrictions imposed. The shock proxies the banking sector's reluctance to lend to the real economy induced by an exogenous preference change for liquid assets. Through the lens of a DSGE...

Persistent link: https://www.econbiz.de/10012632159

Risk news shocks and the business cycle

Pinter, Gabor; Theodoridis, Konstantinos; Yates, Tony - Bank of England - 2013

We identify a ‘risk news' shock in a vector autoregression (VAR), modifying Barsky and Sims’s procedure, while … news shock is estimated to account for around 2%-12% of business cycle fluctuations depending on which risk proxy we use …; regardless, contemporaneous risk and risk news shocks together account for about 20%. This is substantially lower than the 60 …

Persistent link: https://www.econbiz.de/10010839036

The Bank of England's forecasting platform: COMPASS, MAPS, EASE and the suite of models

Burgess, Stephen; Fernandez-Corugedo, Emilio; Groth, … - Bank of England - 2013

This paper introduces the Bank of England's new forecasting platform and provides examples of how it can be applied to practical forecasting problems. The platform consists of four components: COMPASS, a structural central organising model; a suite of models, used to fill in the gaps in the...

Persistent link: https://www.econbiz.de/10005086585

Precautionary Liquidity Shocks, Excess Reserves and Business Cycles

Bratsiotis, George; Theodoridis, Konstantinos - 2021

Persistent link: https://www.econbiz.de/10013250157