policy shock. In contrast, our Monte Carlo VAR results replicate our evidence obtained with actual U.S. data. Hence, modest …

An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the … process. I propose a new identification argument that identifies the SVAR up to shock orderings using the autocovariance … structure of second moments of the residuals implied by an arbitrary stochastic process for the shock variances. These higher …

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 …