general equilibrium (DSGE) model. We provide full-information Bayesian estimation of the DSGE model using macroeconomic … variables and extract the time-series of four latent fundamental shocks of the model: neutral technology shock, investment …-specific technological shock, monetary policy shock, and risk shock. Asset pricing tests show that our model-implied four-factor model can …

; (iii) network-based accelerator - the network structure may propagate the initial shock possibly resulting in an avalanche … of bankruptcies. In this framework, we find that stock market volatility may damage the real economy if the stock market … is too relevant. In particular, an increase of volatility worsens the economic performance through the stock market …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

find that an adverse oil supply shock has a negative effect on stock prices when oil inflation is low. In contrast, this … impact is negligible in the regime characterised by higher oil price inflation. Using a simple DSGE model, we suggest that … rates encourage firms to get highly leveraged. A negative oil shock in this scenario leads to a substantial increase in …

general and can be used to measure the informational importance of observables with respect to latent variables in DSGE models …