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 …

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …

prior distribution of structural parameters and shock processes are determined according to the literature. Then, we … consistent with theoretical framework of the new Keynesian synthesis. Besides, the historical shock decompositions of endogenous … monetary policy increases the effects of monetary policy shock on inflation while its impact on output gap and interest rate …

We propose a TVP-VAR with stochastic volatility for the unemployment rate, core inflation and the federal funds rate … particular are robust (a gradual 0.4 percentage point increase), lasting more than two years after the initial shock. Interest … backbone for our empirical results, via an “option value” channel. Theory yields sizeable real effects and a muted monetary …