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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

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

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

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

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

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

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

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

Behavioral Finance and Technical Analysis

Dehnad, Kosrow - In: Journal of Financial Transformation 32 (2011), pp. 107-111

Abstract Behavioural finance has challenged many claims of efficient market hypothesis (EMH). Unfortunately many of these challenges are in the form of anecdotal evidence and lack quantification. This article uses market data together with some simple statistics to show that in practice certain...

Persistent link: https://www.econbiz.de/10009319869

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10001656178