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Is there news in inventories?
Görtz, Christoph; Gunn, Christopher M.; Lubik, Thomas A. - 2020
We identify total factor productivity (TFP) news shocks using standard VAR methodology and document a new stylized fact …
Persistent link: https://www.econbiz.de/10012213178
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Perceived uncertainty shocks, excess optimism-pessimism, and learning in the business cycle
Chatterjee, Pratiti; Milani, Fabio - 2020
What are the effects of beliefs, sentiment, and uncertainty, over the business cycle? To answer this question, we develop a behavioral New Keynesian macroeconomic model, in which we relax the assumption of rational expectations. Agents are, instead, boundedly rational: they have a...
Persistent link: https://www.econbiz.de/10012294890
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Monetary Policy Expectations and Economic Fluctuations at the Zero Lower Bound
Doehr, Rachel - 2017
inflation. We propose a smallscale structured recursive vector autoregression (VAR) model to identify the macroeconomic effects …
Persistent link: https://www.econbiz.de/10012971223
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Monetary Policy Expectations and Economic Fluctuations at the Zero Lower Bound
Doehr, Rachel - 2015
inflation. We propose a small-scale structured recursive vector autoregression (VAR) model to identify the macroeconomic effects …
Persistent link: https://www.econbiz.de/10013023060
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Identifying News Shocks with Forecast Data
Hirose, Yasuo - 2020
The empirical importance of news shocks—anticipated future shocks—in business cycle fluctuations has been explored by using only actual data when estimating models augmented with news shocks. This paper additionally exploits forecast data to identify news shocks in a canonical...
Persistent link: https://www.econbiz.de/10012847203
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Identifying News Shocks with Forecast Data
Hirose, Yasuo; Kurozumi, Takushi - 2012
only actual data but also forecast data. The estimation results show new empirical evidence that anticipated future …
Persistent link: https://www.econbiz.de/10014173436
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Forward guidance matters : disentangling monetary policy shocks
Ferreira, Leonardo Nogueira - 2020
vector autoregressive (VAR) model to fully disentangle the effects of forward guidance shocks from the effects of …
Persistent link: https://www.econbiz.de/10012295693
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Technology (and Policy) Shocks in Models of Endogenous Growth
Jones, Larry; Manuelli, Rodolfo; Stacchetti, Ennio - 2008
Our objective is to understand how fundamental uncertainty can affect the long-run growth rate and what factors determine the nature of the relationship. Qualitatively, we show that the relationship between volatility in fundamentals and policies and mean growth can be either positive or...
Persistent link: https://www.econbiz.de/10014215791
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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 … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The … 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
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Estimating hysteresis effects
Furlanetto, Francesco; Lepetit, Antoine; Robstad, Ørjan; … - 2021
In this paper, we identify demand shocks that can have a permanent effect on output through hysteresis effects. We call these shocks permanent demand shocks. They are found to be quantitatively important in the United States, in particular when the sample includes the Great Recession. Recessions...
Persistent link: https://www.econbiz.de/10012663764