Similar Search Results

The Macroeconomic Impact of Financial and Uncertainty Shocks

Caldara, Dario - 2016

The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically...

Persistent link: https://www.econbiz.de/10013210407

Rare shocks, great recessions

Cúrdia, Vasco; Del Negro, Marco; Greenwald, Daniel L. - 2012

We estimate a DSGE model where rare large shocks can occur, but replace the commonly used Gaussian assumption with a Student's t-distribution. Results from the Smets and Wouters (2007) model estimated on the usual set of macroeconomic time series over the 1964-2011 period indicate that 1) the...

Persistent link: https://www.econbiz.de/10010219714

Financial Frictions : Micro vs Macro Volatility

Lee, Seungcheol; Luetticke, Ralph; Ravn, Morten O. - 2021

We introduce frictional ﬁnancial intermediation into a HANK model. Households are subject to idiosyncratic and aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces an endogenous countercyclical spread between the...

Persistent link: https://www.econbiz.de/10013312156

Uncertainty and monetary policy during the great recession

Pellegrino, Giovanni; Castelnuovo, Efrem; Caggiano, Giovanni - 2021

real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this … estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We find such a … shock to be able to explain about 60% of the output loss in the 2008-2014 period. The same estimated model unveils the role …

Persistent link: https://www.econbiz.de/10012495676

Financial uncertainty and real activity : the good, the bad, and the ugly

Caggiano, Giovanni; Castelnuovo, Efrem; Delrio, Silvia; … - 2020

disruptions are found to double the negative output response to an uncertainty shock. We then employ our model to estimate the … overall economic cost of the COVID-19-induced uncertainty shock under different scenarios. Our results point to the … interventions that keep credit conditions as healthy as they were before the COVID-19 uncertainty shock are found to substantially …

Persistent link: https://www.econbiz.de/10012245103

Financial frictions, financial shocks, and aggregate volatility

Fuentes-Albero, Cristina - 2018 - This version: July 2018

The Great Moderation in the U.S. economy was accompanied by a widespread increase in the volatility of financial variables. We explore the sources of the divergent patterns in volatilities by estimating a model with time-varying financial rigidities subject to structural breaks in the size of...

Persistent link: https://www.econbiz.de/10012016100

Asset pricing and the propagation of macroeconomic shocks

Jaccard, Ivan - 2018

shocks. In a model that is capable of matching asset pricing moments, a short-lived shock that destroys a small fraction of …

Persistent link: https://www.econbiz.de/10011856397

Domestic and global uncertainty : a survey and some new results

Castelnuovo, Efrem - 2019

This survey features three parts. The first one covers the recent literature on domestic (i.e., country-specific) uncertainty and offers ten main takeaways. The second part reviews contributions on the fast-growing strand of the literature focusing on the macroeconomic effects of uncertainty...

Persistent link: https://www.econbiz.de/10012119543

Financial frictions, trends, and the great recession

Guerrón-Quintana, Pablo A.; Jinnai, Ryo - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 735-773

We study the causes behind the shift in the level of U.S. GDP following the Great Recession. To this end, we propose a model featuring endogenous productivity à la Romer and a financial friction à la Kiyotaki–Moore. Adverse financial disturbances during the recession and the lack of strong...

Persistent link: https://www.econbiz.de/10012049309

Credit crunches from occasionally binding bank borrowing constraints

Holden, Tom D.; Levine, Paul; Swarbrick, Jonathan M. - 2017

We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings. However, even moderately large shocks...

Persistent link: https://www.econbiz.de/10011777841