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Monetary Policy Communication Shocks and the Macroeconomy
Goodhead, Robert - 2019
Using federal funds futures data, we show the importance of surprise communication as a component of monetary policy for U.S. macro variables, both before and after 2008. While Gürkaynak et al. (2005) stress the importance of monetary policy communication for asset prices, much of the...
Persistent link: https://www.econbiz.de/10012897008
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Uncertainty shocks, banking frictions, and economic activity
Bonciani, Dario; Roye, Björn van - 2013
In this paper we investigate the effects of uncertainty shocks on economic activity using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty shocks on economic...
Persistent link: https://www.econbiz.de/10009761866
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Uncertainty Shocks, Banking Frictions and Economic Activity
Bonciani, Dario - 2015
In this paper we investigate the effects of uncertainty shocks on economic activity in the euro area by using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty...
Persistent link: https://www.econbiz.de/10013019593
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Leaning against the wind and crisis risk
Schularick, Moritz; Ter Steege, Lucas; Ward, Felix - 2020
Can central banks defuse rising stability risks in financial booms by leaning against the wind with higher interest rates? This paper studies the state-dependent effects of monetary policy on financial stability. Based on the near-universe of advanced economy financial cycles since the 19th...
Persistent link: https://www.econbiz.de/10012260596
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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
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 …
Persistent link: https://www.econbiz.de/10011389786
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News Shocks and the Effects of Monetary Policy
Zhang, Ren - 2019
-lasting effects on output and total factor productivity (TFP). In this paper, I argue that the typical monetary shock has been … confounded with the news shock about future technology. I propose and implement a novel SVAR approach that effectively ``cleans …'' the technology component from the traditional Cholesky monetary shock. With the new identification, I find that a monetary …
Persistent link: https://www.econbiz.de/10012891083
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Temporary Price Changes and the Real Effects of Monetary Policy
Kehoe, Patrick J. - 2008
In the data, prices change both temporarily and permanently. Standard Calvo models focus on permanent price changes and take one of two shortcuts when confronted with the data: drop temporary changes from the data or leave them in and treat them as permanent. We provide a menu cost model that...
Persistent link: https://www.econbiz.de/10012769978
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Monetary Policy Uncertainty and Economic Fluctuations at the Zero Lower Bound
Doehr, Rachel; Martínez-García, Enrique - 2022
particular are robust (a gradual 0.4 percentage point increase), lasting more than two years after the initial shock. Interest …
Persistent link: https://www.econbiz.de/10013313628
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Monetary Policy Uncertainty and Economic Fluctuations at the Zero Lower Bound
Martínez-García, Enrique; Doehr, Rachel - 2021
particular are robust (a gradual 0.4 percentage point increase), lasting more than two years after the initial shock. Interest …
Persistent link: https://www.econbiz.de/10013313883
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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2018
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 15%. Using a New Keynesian model, with search and...
Persistent link: https://www.econbiz.de/10011928806