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Persistent stochastic shocks in a new Keynesian model with uncertainty

Kranz, Tobias - 2016

be derived by quadratic approximation. This leaves uncertainty in the basic three-equation model. After adding exogenous … AR(1) processes, I examine the results by numerical simulation. First, I derive a reduced-form solution for the nominal …, impulse response functions show the adjustments over time after a cost shock. As a result, accounting for uncertainty can lead …

Persistent link: https://www.econbiz.de/10011479496

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

Disentangling supply-side and demand-side effects of uncertainty shocks on U.S. financial markets : identification using prices of gold and oil

Bettendorf, Timo - 2025

This paper investigates the effects of uncertainty shocks on selected U.S. financial asset prices by decomposing a … traditional uncertainty shock into its supply-side and demand-side components. Following the approach by Piffer and Podstawski … (2018), we identify uncertainty shocks using the price of gold and enhance this strategy by introducing the price of oil as …

Persistent link: https://www.econbiz.de/10015410353

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

Monetary policy responses to exogenous perturbations : the case of a small open economy (2007-2018)

Warburton, Christopher E. S.; Jackson, E. A. - In: PSL quarterly review 73 (2020) 293, pp. 181-201

While autonomous central banks in large open economies are usually predisposed to use monetary rules to target inflation, output, and long-term interest rates, central banks in small open economies face peculiar challenges in their attempts to attain and maintain liquidity, stable prices and...

Persistent link: https://www.econbiz.de/10012288324

Heterodox shocks

Hannsgen, Greg - 2013 - Revised version

Should shocks be part of our macro-modeling tool kit - for example, as a way of modeling discontinuities in fiscal policy or big moves in the financial markets? What are shocks, and how can we best put them to use? In heterodox macroeconomics, shocks tend to come in two broad types, with some...

Persistent link: https://www.econbiz.de/10009752205

Spillover effects in government bond spreads : evidence from a GVAR model

Niehof, Britta - 2014 - This version: November 27, 2014

This paper analyses the main drivers of sovereign bond spreads in a globalised world. Specifically, we account for international spillovers of bond spreads by adding an additional driver, namely, financial markets, and allowing interactions across countries and markets. We contribute to the VAR...

Persistent link: https://www.econbiz.de/10010434572

Monetary and fiscal policy in times of crises : a new Keynesian perspective in continuous time

Hayo, Bernd; Niehof, Britta - 2014 - This version: October 27, 2014

To analyse the interdependence between monetary and fiscal policy during a financial crisis, we develop an open-economy DSGE model with monetary and fiscal policy as well as financial markets in a continuous-time framework based on stochastic differential equations. Monetary policy is modelled...

Persistent link: https://www.econbiz.de/10010419528

News Versus Sunspot Shocks in a New Keynesian Model

Karnizova, Lilia - 2011

Separately, news and sunspot shocks have been shown empirically to be determinants of changes in expectations. This paper considers both of them together in a simple New Keynesian monetary business cycle model. A full set of rational expectations solutions is derived analytically. The analytical...

Persistent link: https://www.econbiz.de/10013132082

Financial Frictions and Sources of Business Cycle

Taheri Sanjani, Marzie - 2014

This paper estimates a New Keynesian DSGE model with an explicit financial intermediary sector. Having measures of financial stress, such as the spread between lending and borrowing, enables the model to capture the impact of the financial crisis in a more direct and efficient way. The model...

Persistent link: https://www.econbiz.de/10013043707