: (i) monetary volatility negatively affects long-run growth; (ii) the relation between nominal volatility and growth … increases the negative effect of nominal volatility on mean growth. …

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

This paper studies the volatility implications of anticipated cost-push shocks (i.e. news shocks) in a New Keynesian …), anticipated cost-push shocks lead to a higher (lower) volatility in the output gap and in the central bank’s loss than an … unanticipated shock of the same size. The inversion of the volatility effects of news shocks between rational and boundedly rational …

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 …

consistent with the data. Banking regulation, while stabilizing at the aggregate level, may induce volatility at the household …

business cycle inflation volatility observable in the data. In addition, we contribute to the theoretical literature by … prove that the monotonic relationship between steady state inflation level and business cycle inflation volatility holds …

of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. The lower … that is weaker in high volatility periods. To rationalize our robust empirical results, we use a macroeconomic model in … volatility of aggregate shocks. In low volatility periods, banks lever up, which makes their balance sheets more sensitive to …