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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
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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/10012483779
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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
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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/10011460767
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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
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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
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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/10012429974
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The Bank of England's Forecasting Platform : COMPASS, MAPS, EASE and the Suite of Models
Burgess, Stephen - 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/10013081880
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Precautionary Liquidity Shocks, Excess Reserves and Business Cycles
Bratsiotis, George; 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 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/10013250157
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Risk News Shocks and the Business Cycle
Pinter, Gabor - 2014
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/10013061670