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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
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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
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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
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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
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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
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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
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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
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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
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An Artificial Neural Network Representation of the SABR Stochastic Volatility Model
McGhee, William A - 2018
In this article, the Universal Approximation Theorem of Artificial Neural Networks (ANNs) is applied to the SABR stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et al. [2002] is considered, then a more accurate...
Persistent link: https://www.econbiz.de/10012907596
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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