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In this paper we investigate the effects of uncertainty shocks on economic activity using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty shocks on economic...
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the Great Moderation. While the volatility of financial price variables also follows such pattern, financial quantity … variables have experienced a continuous immoderation. We examine these patterns in volatility by estimating a DSGE model with …
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