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Calibrating the equilibrium condition of a New Keynesian model with uncertainty
Kranz, Tobias - In: Review of economics 68 (2017) 2, pp. 117-151
Persistent link: https://www.econbiz.de/10011943970
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Uncertain Forward Guidance
Haberis, Alex - 2017
We explore the effects of forward guidance at the zero lower bound when there is uncertainty over the lift-off date …
Persistent link: https://www.econbiz.de/10012959532
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Market-Based Monetary Policy Uncertainty
Bauer, Michael - 2020
prices. This paper addresses the open question of how shifts in the uncertainty about future policy rates matter for the … transmission of monetary policy to financial markets. To this end, we develop a novel measure of policy uncertainty based on … derivative prices that can be used in event studies. We provide evidence for an FOMC uncertainty cycle, the systematic pattern of …
Persistent link: https://www.econbiz.de/10012849565
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Layoff Risk, the Welfare Cost of Business Cycles, and Monetary Policy
Berger, David - 2019
The strongest predictor of changes in the Fed Funds rate in the period 1982–2008 was the layoff rate. That fact is puzzling from the perspective of representative-agent models of the economy, which imply that the welfare gains of stabilizing employment fluctuations are small. This paper...
Persistent link: https://www.econbiz.de/10012903995
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Risk-Shifting, Concentration Risk and Heterogeneous Borrowers
Fittje, Jens - 2019
This article analyzes the effect of valuations-based capital requirements and concentration risk provisions on the risk-shifting response of the banking sector to monetary easing. It provides a closed economy DSGE model for the Euro zone with costly bank capital and two heterogeneous borrowers....
Persistent link: https://www.econbiz.de/10012864558
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Doves for the rich, hawks for the poor? : distributional consequences of monetary policy
Gornemann, Nils; Küster, Keith; Nakajima, Makoto - 2016
We build a New Keynesian business-cycle model with rich household heterogeneity. A central feature is that matching frictions render labor-market risk countercyclical and endogenous to monetary policy. Our main result is that a majority of households prefer substantial stabilization of...
Persistent link: https://www.econbiz.de/10011563007
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Doves for the Rich, Hawks for the Poor? Distributional Consequences of Monetary Policy
Gornemann, Nils - 2017
We build a New Keynesian business-cycle model with rich household heterogeneity. A central feature is that matching frictions render labor-market risk countercyclical and endogenous to monetary policy. Our main result is that a majority of households prefer substantial stabilization of...
Persistent link: https://www.econbiz.de/10013210409
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Uncertainty Shocks and Monetary Policy Rules in a Small Open Economy
Gupta, Sargam - 2020
uncertainty. Although the recent literature has recognized adverse real effects of global uncertainty shocks in EMEs, the role of … real) and monetary policy in amplifying/ stabilizing the real effects of global uncertainty shocks in a small open economy …. We reproduce stylized facts showing significant movements in exchange rates when EMEs are hit with a global uncertainty …
Persistent link: https://www.econbiz.de/10012827002
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Systemic risk and the refinancing ratchet effect
Khandani, Amir E.; Lo, Andrew W.; Merton, Robert C. - 2009 - This draft: September 13, 2009
The confluence of three trends in the U.S. residential housing market - rising home prices, declining interest rates, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system. Individually, each of these trends is benign, but when they occur...
Persistent link: https://www.econbiz.de/10003889053
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GARCH analyses of risk and uncertainty in the theories of the interest rate of Keynes and Kalecki
Gabrisch, Hubert - 2021
This study attempts to identify uncertainty in the long-term rate of interest based on the controversial interest rate … macroeconomic variables without interest uncertainty are thus seriously incomplete. …
Persistent link: https://www.econbiz.de/10012424659