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Uncertainty, inflation, and welfare
Chiu, Jonathan (contributor); Molico, Miguel (contributor) - 2008
This paper studies the welfare costs and the redistributive effects of inflation in the presence of idiosyncratic … money demand and the distribution of money holdings across households, and study the effects of inflation under the implied … inflation are on average 40% smaller compared to a complete markets, representative agent economy, and that inflation induces …
Persistent link: https://www.econbiz.de/10003711687
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Analysis of Size Portfolios and Risk Factor Loadings of Asset Pricing Models – Threshold Regression Approach
Sarwat, Salman Salman - 2019
The objective of the study is to analysis portfolio returns and the performance of asset pricing models in the context of macroeconomic variables. Portfolios have been constructed on the basis of firms' size; two equally weighted decile portfolios and two value weighed decile portfolios...
Persistent link: https://www.econbiz.de/10012891183
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Risk Management-Driven Policy Rate Gap
Caggiano, Giovanni - 2018
uncertainty over and above that to expected inflation, output gap, and output growth. However, this evidence regards the Greenspan …
Persistent link: https://www.econbiz.de/10012910624
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Risk management-driven policy rate gap
Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela - 2018
uncertainty over and above that to expected inflation, output gap, and output growth. However, this evidence regards the Greenspan …
Persistent link: https://www.econbiz.de/10011884396
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Monetary policy uncertainty
Husted, Lucas; Rogers, John H.; Sun, Bo - 2017
We construct new measures of uncertainty about Federal Reserve policy actions and their consequences - monetary policy uncertainty (MPU) indexes. We show that, under a variety of VAR identification schemes, positive shocks to uncertainty about monetary policy robustly raise credit spreads and...
Persistent link: https://www.econbiz.de/10011780289
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Firm-Level Uncertainty and the Transmission of Forward Guidance to Investment
Kroner, Niklas - 2021
I study the role of firms' uncertainty in the transmission of forward guidance to investment. To do so, I employ a quarterly firm-level panel of U.S. publicly traded firms. I measure forward guidance shocks based on unexpected changes in the slope of the yield curve in a 30-minute window around...
Persistent link: https://www.econbiz.de/10013211594
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Uncertainty and effectiveness of monetary policy : a bayesian Markov switching-VAR analysis
Nain, Zulquar; Kamaiah, Bandi - In: Journal of central banking theory and practice 9 (2020), pp. 237-265
monetary policy effectiveness for a developing country, namely India. We applied a non-linear VAR, which allows us to examine …
Persistent link: https://www.econbiz.de/10012306714
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The IS Puzzle and Relative Risk Aversion in Turkey
Yazgan, Mustafa Ege - 2010
This paper estimates the IS curve of the Turkish economy for the monthly period over 1996M1-2007M11 by using GMM. It is found that, when a structural small open economy model is used and data are constructed carefully, forward-looking IS curve works perfectly in Turkey, which is against the IS...
Persistent link: https://www.econbiz.de/10012759161
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Monetary Policy Uncertainty and Monetary Policy Surprises
De Pooter, Michiel; Favara, Giovanni; Modugno, Michele; … - 2020
Monetary policy uncertainty affects the transmission of monetary policy shocks to longer-term nominal and real yields. For a given monetary policy shock, the reaction of yields is more pronounced when the level of monetary policy uncertainty is low. Primary dealers and other investors adjust...
Persistent link: https://www.econbiz.de/10014097667
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A course in monetary economics : sequential trade, money, and uncertainty
Eden, Benjamin - 2005
Persistent link: https://www.econbiz.de/10001795418