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Volatility risk and economic welfare
Xu, Shaofeng - 2017
This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model … with recursive preferences, stochastic volatility, and capital adjustment costs. The model shows that a rise in volatility … a risk-averse household, volatility risk can increase or decrease welfare, depending on model parameters. When …
Persistent link: https://www.econbiz.de/10011650148
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Price Shocks in General Equilibrium : Alternative Specifications
Walque, Gregory de - 2010
Smets and Wouters () find that at short- and medium-term horizons stochastic variations in the goods market mark-up are the most important source of inflation variability in the euro area. This article shows that an empirically plausible alternative interpretation is that the estimated price...
Persistent link: https://www.econbiz.de/10012716079
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Macroeconomic Fluctuations, Oil Supply Shocks, and Equilibrium Oil Futures Prices
Hitzemann, Steffen - 2016
volatility in the oil market and are responsible for the mean-reversion behavior of oil prices. On the other hand, long …
Persistent link: https://www.econbiz.de/10013005759
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News Shocks
Barsky, Robert - 2009
of aggregate technology and several forward-looking variables, we identify the news shock as the shock orthogonal to …
Persistent link: https://www.econbiz.de/10013156463
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Accounting for the Sources of Macroeconomic Tail Risks
Atalay, Enghin - 2020
Using a multi-industry real business cycle model, we empirically examine the microeconomic origins of aggregate tail risks. Our model, estimated using industry-level data from 1972 to 2016, indicates that industry-specific shocks account for most of the third and fourth moments of GDP growth
Persistent link: https://www.econbiz.de/10012852920
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Macroeconomic Effects of Political Risk Shocks
Hacioglu Hoke, Sinem - 2019
, the shock create an aggregate supply effect where output growth and inflation move in opposite directions, and generates a …
Persistent link: https://www.econbiz.de/10012857721
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The spillover effects of economic policy uncertainty in Latin America on the Spanish economy
Ghirelli, Corinna; Pérez, Javier J.; Urtasun, Alberto - In: Latin American journal of central banking : LAJCB 2 (2021) 2, pp. 1-39
We construct economic policy uncertainty (EPU) indexes for a number of Latin American (LA) economies (Argentina, Brazil, Chile, Colombia, Mexico, Peru, Venezuela) and the region as a whole, based on reports in the Spanish press. Our measures are comparable across countries. We study the...
Persistent link: https://www.econbiz.de/10012545889
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Time-varying risk shocks and the zero lower bound
Strobel, Johannes; Lee, Gabriel S.; Salyer, Kevin Duff - 2019
This paper shows that increased volatility of Örm-level productivity can push the nominal interest rate to its lower …
Persistent link: https://www.econbiz.de/10012231163
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How should news shocks be specified under rational expectations?
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - 2017
A number of studies have found that news shocks account for a large part of the aggregate fl uctuations of the main macroeconomic variables.We show that when taking rational expectations into consideration there is a limit on the size of the variance of the news shocks,which has not been...
Persistent link: https://www.econbiz.de/10011758913
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Fluctuations in Uncertainty
Bloom, Nicholas - 2014
This review article tries to answer four questions: (i) what are the stylized facts about uncertainty over time; (ii) why does uncertainty vary; (iii) do fluctuations in uncertainty matter; and (iv) did higher uncertainty worsen the Great Recession of 2007-2009? On the first question both macro...
Persistent link: https://www.econbiz.de/10013055639