appreciates in response to an asymmetric negative demand shock at the zero lower bound (ZLB) and exacerbates the adverse … at the ZLB. In sharp contrast to the full information model: (i) A negative demand shock concentrated in the home country … causes a real exchange rate depreciation that partially absorbs the demand shock. (ii) A VAR with an identified demand shock …

and their distinct effects. Kilian (2009) analyzes the effects of an oil supply shock, an aggregate demand shock, and a … precautionary oil demand shock. The paper''s aim is to model macroeconomic consequences of these shocks within a new Keynesian DSGE …