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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
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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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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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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
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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
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Shadow-Rate VARs
Carriero, Andrea; Clark, Todd E.; Marcellino, … - 2023
VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding constraints, like the effective lower bound on nominal interest rates. We extend the VAR framework by modeling interest rates as censored observations of a latent shadow-rate process,...
Persistent link: https://www.econbiz.de/10014352599
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The effects of structural shocks on macroeconomic fundamentals under aggressive monetary policy : the case of Turkey
Güngör, Mahmut Sami; Güloğlu, Bülent - In: International journal of business and economic sciences … 12 (2019) 2, pp. 7-21
Purpose: This study aims to investigate the impact of aggressive monetary policy in terms of inflation on the effects of structural shocks over macroeconomic fundamentals in Turkey. For this purpose, we estimate the basic new Keynesian model by using the Bayesian method for the period of 2000Q1...
Persistent link: https://www.econbiz.de/10012239944
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Analysing monetary policy shocks by sign and parametric restrictions : the evidence from Russia
Yıldız, Bünyamin Fuat; Gökmenoglu, Korhan K.; Wong, … - In: Economies : open access journal 10 (2022) 10, pp. 1-16
Most, if not all, of the studies in the existing literature that have examined the impacts of monetary policy implications on macroeconomic aggregates suffered from misleading impulse responses. To overcome the limitations in the existing literature and to fill the gap in the literature, this...
Persistent link: https://www.econbiz.de/10013499129
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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
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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