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 volatility to rise around 10% above their steady-state standard …

We propose a TVP-VAR with stochastic volatility for the unemployment rate, core inflation and the federal funds rate … rise in monetary policy uncertainty increases unemployment and lowers core inflation; the effects on unemployment in … particular are robust (a gradual 0.4 percentage point increase), lasting more than two years after the initial shock. Interest …

We propose a TVP-VAR with stochastic volatility for the unemployment rate, core inflation and the federal funds rate … rise in monetary policy uncertainty increases unemployment and lowers core inflation; the effects on unemployment in … particular are robust (a gradual 0.4 percentage point increase), lasting more than two years after the initial shock. Interest …

suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about …

persistent movements of aggregate inflation. Moreover, the impact of a monetary policy shock on unemployment and inflation … cycle model. In particular, we analyze the effect of a monetary policy shock and investigate how labor market frictions … employment and hours affecting inflation dynamics via marginal costs. We find that the response of unemployment and inflation to …

persistent movements of aggregate inflation. Moreover, the impact of a monetary policy shock on unemployment and inflation … cycle model. In particular, we analyze the effect of a monetary policy shock and investigate how labor market frictions … employment and hours affecting inflation dynamics via marginal costs. We find that the response of unemployment and inflation to …