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Identifying a permanent markup shock and its implications for macroeconomic dynamics

Kim, Bae-geun - In: Journal of economic dynamics & control 34 (2010) 8, pp. 1471-1491

Persistent link: https://www.econbiz.de/10008664726

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

What are the macroeconomic effects of high-frequency uncertainty shocks?

Ferrara, Laurent; Guérin, Pierre - 2015

Persistent link: https://www.econbiz.de/10011300896

Common and country specific economic uncertainty

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common component plays an important role in driving the...

Persistent link: https://www.econbiz.de/10011306276