We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US … suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about … these volatility effects are driven by the coexistence of agents' fears of unemployment and concerns about the (in) ability …

-trivial moving average component of the equilibrium representation, making finite order VARs a poor approximation of true adjustment …-based nonfundamentalness, thereby hampering shock identification via VAR methods. This notwithstanding, restricted DNK models are shown to … empirically tenable parameterizations. This alleviates concerns about identification and lag truncation bias: low-order Cholesky-VARs …

Great Recession. In ation, in contrast, has gone quiescent. This paper studies the sources of this disconnect using VARs and …

. In developing this narrative DSGE‐SVAR, I develop a tractable Bayesian approach to proxy VARs and show that such an …

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 …