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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 matching labour frictions and Epstein-Zin preferences we show that …
Persistent link: https://www.econbiz.de/10012429974
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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse … 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/10011460767
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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/10012670875
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MAJA: A two-region DSGE model for Sweden and its main trading partners
Corbo, Vesna; Strid, Ingvar - 2020
-economy dynamic stochastic general equilibrium (DSGE) models to generate substantial cross-country spillovers; see e.g. the seminal … paper of Justiniano and Preston (2010). We present a two-region DSGE model that better captures the dependence on global …
Persistent link: https://www.econbiz.de/10012497743
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BEMGIE: Belgian Economy in a Macro General and International Equilibrium model
De Walque, Gregory; Lejeune, Thomas; Rannenberg, Ansgar; … - 2023
This paper outlines the three-country New Keynesian Dynamic Stochastic General Equilibrium model of the National Bank of Belgium. The model is named BEMGIE for Belgian Economy in a Macro General and International Equilibrium model. It features imperfect market competition, standard real and...
Persistent link: https://www.econbiz.de/10014550243
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RBCs and DSGEs: The Computational Approach to Business Cycle Theory and Evidence
Karagedikli, Özer; Matheson, Troy; Smith, Christie; … - 2008
Real Business Cycle (RBC) and Dynamic Stochastic General Equilibrium (DSGE) methods have become essential components of …
Persistent link: https://www.econbiz.de/10012143697
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Large vector auto regressions
Song, Song; Bickel, Peter J. - 2011
One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine...
Persistent link: https://www.econbiz.de/10010281503
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How important are financial frictions in the US and the Euro area
Queijo von Heideken, Virginia - 2008
area. For this purpose, I modify the DSGE financial accelerator model developed by Bernanke, Gertler and Gilchrist (1999 …
Persistent link: https://www.econbiz.de/10010320773
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A new application of Taylor rules: Model evaluation
Salyer, Kevin; Van Gaasbeck, Kristin - 2000
Evans (1997) that permits both technology and money shocks. We find that this model, when the shock process is calibrated to …
Persistent link: https://www.econbiz.de/10010318600
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MEDEA: a DSGE model for the Spanish economy
Burriel, Pablo; Fernández-Villaverde, Jesús; … - In: SERIEs - Journal of the Spanish Economic Association 1 (2010) 1/2, pp. 175-243
(Modelo de EquilibrioDinámico de la Economía EspañolA). MEDEA is a dynamic stochastic general equilibrium (DSGE) model that …
Persistent link: https://www.econbiz.de/10010317074