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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

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

Two Papers on the Volatility of Money Stock Targeting

Tinsley, Peter A.; Von zur Mühlen, Peter; Fries, Gerhard - 2022

This paper introduces an empirical measure of the cost of allocating money market volatility between the money stock and the Federal funds rate, the principal purpose being to devise a framework for data-based measures of the short-run implied by alternative operating procedures

Persistent link: https://www.econbiz.de/10013403837

The changing macroeconomic response to stock market volatility shocks

Beetsma, Roel; Giuliodori, Massimo - 2011 - This version: 14 November 2011

There is substantial consensus in the literature that positive uncertainty shocks predict a slowdown of economic activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks has changed substantially over time. The negative...

Persistent link: https://www.econbiz.de/10009380407

The Changing Macroeconomic Response to Stock Market Volatility Shocks

Beetsma, Roel M. W. J. - 2011

Persistent link: https://www.econbiz.de/10013117909

A note of caution on the relation between money growth and inflation

Berger, Helge; Karlsson, Sune; Österholm, Pär - 2023

We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is statistically unstable across time in both regions. The...

Persistent link: https://www.econbiz.de/10014252440

Housing market volatility, shadow banks and macroprudential regulation : a dynamic stochastic general equilibrium model analysis

Wang, Jinsong; Tang, Luoqiu - In: The Singapore economic review 67 (2022) 6, pp. 1925-1949

Persistent link: https://www.econbiz.de/10014240266

Oil Price Fluctuations and it Impact on Economic Growth : A DSGE Approach

Bondzie, Eric - 2016

policy shocks (money supply-interest rate induced) on economic growth in Ghana. We realized that, a shock on interest rate … paradoxical effect of a negative interest rate on total money supply. We also showed that a positive output shock has the same … effect on consumption, investment, prices and wages as in the case of interest rate shock …

Persistent link: https://www.econbiz.de/10012999305

Is increased price flexibility stabilizing? : redux

Bhattarai, Saroj; Eggertsson, Gauti B.; Schoenle, Raphael - 2012

We study the implications of increased price flexibility on aggregate output volatility in a dynamic stochastic general equilibrium (DSGE) model. First, using a simplified version of the model, we show analytically that the results depend on the shocks driving the economy and the systematic...

Persistent link: https://www.econbiz.de/10009521652

Microeconomic origins of macroeconomic tail risks

Acemoglu, Daron; Ozdaglar, Asuman E.; Tahbaz-Salehi, Alireza - 2015

Persistent link: https://www.econbiz.de/10011347414

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