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 …

subsequent recovery in the US. The Great Recession was mainly caused by a large demand shock and by the ZLB on the interest rate …

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 …-term reversal. The investment-specific technological shock and risk shock play the most important role in explaining those return …

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 …