Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard …

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …

Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify …

In this paper, we derive a small textbook New Keynesian DSGE model to evaluate Polish and Romanian business cycles … observed variables. Shock decompositions of the output and the inflation rate revealed the driving forces of the business …

(volatility) dependent effects on the real economy. To understand the transmission of the shock, we develop a DSGE model of …This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance … restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous …