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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 … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …
Persistent link: https://www.econbiz.de/10011389786
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Inflation Level and Inflation Volatility : A Seigniorage Argument
Dmitriev, Mikhail - 2016
business cycle inflation volatility observable in the data. In addition, we contribute to the theoretical literature by … prove that the monotonic relationship between steady state inflation level and business cycle inflation volatility holds …
Persistent link: https://www.econbiz.de/10012998151
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Studying international spillovers in a New Keynesian continuous time framework with financial markets
Hayo, Bernd; Niehof, Britta - 2013 - This version September 10, 2013
In light of the recent financial and real economic crisis, it seems clear that macroeconomists need to better account for the influence of financial markets. This paper explores the consequences of treating the interaction between different financial markets, monetary policy, and the real...
Persistent link: https://www.econbiz.de/10010126892
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Heterogeneous agent models in finance
Dieci, Roberto; He, Xue-zhong - 2018
Persistent link: https://www.econbiz.de/10013253829
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Time-Varying Money Demand and Real Balance Effects
Benchimol, Jonathan - 2020
This paper presents an analysis of the stimulants and consequences of money demand dynamics. By assuming that households’ money holdings and consumption preferences are not separable, we demonstrate that the interest-elasticity of demand for money is a function of the households’...
Persistent link: https://www.econbiz.de/10012847205
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Time-Varying Money Demand and Real Balance Effects
Benchimol, Jonathan; Qureshi, Irfan - 2020
This paper presents an analysis of the stimulants and consequences of money demand dynamics. By assuming that household's money holdings and consumption preferences are not separable, we demonstrate that the interest-elasticity of demand for money is a function of the household's preference to...
Persistent link: https://www.econbiz.de/10014096096
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A new stock-price bubble with stochastically deflating trajectories
Rotermann, Benedikt; Wilfling, Bernd - In: Applied economics letters 25 (2018) 15, pp. 1091-1096
Persistent link: https://www.econbiz.de/10012132351
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Asset Price Booms and Monetary Policy
Detken, Carsten; Smets, Frank - 2021
The paper aims at deriving some stylised facts for financial, real, and monetary policy developments during asset price booms. We observe various macroeconomic variables in a pre-boom, boom and post-boom phase. Not all booms lead to large output losses. We analyse the differences between...
Persistent link: https://www.econbiz.de/10013319333
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Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors
Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132
-Fuller test reveals existence of periodically collapsing bubbles in S&P 500 data during the late 1990s. …
Persistent link: https://www.econbiz.de/10011555939
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Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors
Fu, Man - 2011
-Fuller test reveals existence of periodically collapsing bubbles in S&P 500 data during the late 1990s …
Persistent link: https://www.econbiz.de/10013119302