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Menu Costs, Uncertainty Cycles, and the Propagation of Nominal Shocks
Baley, Isaac - 2020
and transitory changes in their idiosyncratic productivity. Upon the arrival of a productivity shock, a firm's uncertainty … spikes up and then fades with learning until the arrival of the next shock. These uncertainty cycles, when paired with menu …
Persistent link: https://www.econbiz.de/10012857180
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Time-varying risk shocks and the zero lower bound
Strobel, Johannes; Lee, Gabriel S.; Salyer, Kevin Duff - 2019
This paper shows that increased volatility of Örm-level productivity can push the nominal interest rate to its lower bound with large amplification effects on macroeconomic aggregates. The framework combines a simple canonical Önancial accelerator model, time varying risk shocks, and a zero...
Persistent link: https://www.econbiz.de/10012231163
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Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System
Cukierman, Alex - 2011
This paper develops a micro-founded general equilibrium model of the financial system composed of ultimate borrowers, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood of governmental bailouts on leverage, interest...
Persistent link: https://www.econbiz.de/10013122330
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Monetary policy uncertainty and firm dynamics
Fasani, Stefano; Mumtaz, Haroon; Rossi, Lorenza - 2020
smaller effect of this shock on real activity. …
Persistent link: https://www.econbiz.de/10012243253
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On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models
Andreasen, Martin M. - 2011
This paper studies how rare disasters and uncertainty shocks affect risk premia in DSGE models approximated to second and third order. Based on an extension of the results in Schmitt-Grohé & Uribe (2004) to third order, we derive propositions for how rare disasters, stochastic volatility, and...
Persistent link: https://www.econbiz.de/10013132951
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The Equity Premium, Long-Run Risk, & Optimal Monetary Policy
Diercks, Anthony M. - 2015
properly accounts for asset pricing facts. I find that the Ramsey optimal monetary policy yields an inflation rate above 3 ….5% and inflation volatility close to 1.5%. The same model calibrated to a counterfactually low equity premium implies an … optimal inflation rate close to zero and inflation volatility less than 10 basis points, consistent with much of the existing …
Persistent link: https://www.econbiz.de/10013014250
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The side effects of safe asset creation
Acharya, Sushant; Dogra, Keshav - 2018
committed to low inflation has no alternative. Higher inflation targets, instead, permit both full employment and high …
Persistent link: https://www.econbiz.de/10011806268
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Are uncertainty shocks aggregate demand shocks?
Fasani, Stefano; Rossi, Lorenza - In: Economics letters 167 (2018), pp. 142-146
Persistent link: https://www.econbiz.de/10012016524
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Uncertainty shocks, banking frictions, and economic activity
Bonciani, Dario; Roye, Björn van - 2013
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...
Persistent link: https://www.econbiz.de/10009761866
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Robust discretionary monetary policy under cost-push shock uncertainty of Iran’s economy
Feriz, Fatemeh Labafi; Samadi, Saeed; Nasrollahi, Khadijeh - In: Iranian economic review : journal of University of Tehran 22 (2018) 2, pp. 503-526
Persistent link: https://www.econbiz.de/10012057395