Narrow search
Showing 1 - 10 of 737
Cover Image
South Africa’s economic response to monetary policy uncertainty
Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl - In: Journal of Economic Studies 44 (2017) 2, pp. 282-293
volatility to evaluate the sign and size of uncertainty shocks. The authors use a nonlinear DSGE model to gain deeper insights … monetary policy uncertainty into South Africa using a stochastic volatility model and a nonlinear DSGE model. The results … a contemporaneous decrease. The DSGE model shows that the size of the uncertainty shock matters – high uncertainty can …
Persistent link: https://www.econbiz.de/10014864375
Cover Image
South Africa's economic response to monetary policy uncertainty
Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl - In: Journal of economic studies 44 (2017) 2, pp. 282-293
Persistent link: https://www.econbiz.de/10011757456
Cover Image
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
Cover Image
Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and 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...
Persistent link: https://www.econbiz.de/10011389786
Cover Image
Long-Term Growth and Short-Term Volatility: The Labour Market Nexus
Annicchiarico, Barbara; Corrado, Luisa; Pelloni, Alessandra - Centre for Dynamic Macroeconomic Analysis, University … - 2008
We study the relationship between growth and variability in a DSGE model with nominal rigidities and growth driven by …
Persistent link: https://www.econbiz.de/10005671092
Cover Image
Volatility, Growth and Labour Elasticity
Annicchiarico, Barbara; Corrado, Luisa; Pelloni, Alessandra - Rimini Centre for Economic Analysis (RCEA) - 2008
We study the relationship between growth and variability in a DSGE model with nominal rigidities and growth driven by …
Persistent link: https://www.econbiz.de/10005091061
Cover Image
Decomposing risk in dynamic stochastic general equilibrium : conference paper
Lan, Hong; Meyer-Gohde, Alexander - 2014 - This version: December 19, 2013
We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility …
Persistent link: https://www.econbiz.de/10010487749
Cover Image
Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?
Wang, Yudong; Wu, Chongfeng - In: Energy Economics 34 (2012) 6, pp. 2167-2181
In this paper, we forecast energy market volatility using both univariate and multivariate GARCH-class models. First, we forecast volatilities of individual assets and find that multivariate models display better performance than univariate models. Second, we forecast crack spread volatility and...
Persistent link: https://www.econbiz.de/10010587994
Cover Image
An Analyisis of the Heston Stochastic Volatility Model : Implementation and Calibration Using Matlab
Crisóstomo, Ricardo - 2019
This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how characteristic functions can be used to esti-mate option prices. Then we consider the implementation of the Heston model, showing that relatively simple solutions can lead to...
Persistent link: https://www.econbiz.de/10012868895
Cover Image
Pricing Bermudan Variance Swaptions Using Multinomial Trees
Zhao, Honglei - 2019
this article, we expand the methodology to price nonlinear derivatives written on realized variance. Particularly we …
Persistent link: https://www.econbiz.de/10012899164