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Uncertainty shocks, banking frictions, and economic activity

Bonciani, Dario; Roye, Björn van - 2013

In this paper we investigate the effects of uncertainty shocks on economic activity using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty shocks on economic...

Persistent link: https://www.econbiz.de/10009761866

Financial Uncertainty and the Effectiveness of Monetary Policy

Fu, Rong - 2019

This paper argues that the impact of monetary policy shocks can interact with the financial environment, in particular with financial uncertainty, making monetary policy's effectiveness state dependent. To that end, we implement a smooth transition VAR model to examine monetary policy shocks, in...

Persistent link: https://www.econbiz.de/10012896595

TFP and the transmission of shocks : conference paper

Mayer, Eric; Rüth, Sebastian; Scharler, Johann - 2014

We show that TFP reacts counter-cyclically to macroeconomic shocks, which we identify by imposing sign restrictions. Counterfactual simulations, based on a New Keynesian DSGE model, show that firms manage to employ labor more efficiently during downturns, which leads to a muted drop in the...

Persistent link: https://www.econbiz.de/10010489298

Were There Regime Switches in China's Monetary Policy?

Li, Li - 2019

This paper develops and estimates the quantity based Markov-switching(MS) monetary policy rule for China. The MS … regression results show that China's monetary policy rule does exist regime changes, and the best fit is with a version that … in monetary shock's variance and steady-state of M2 growth rate. Based on the Bayesian estimation of MS-DSGE model, I …

Persistent link: https://www.econbiz.de/10012863051

Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks

Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - 2009

In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a … credit risk model - based on publicly available information . with the aim of developing a tool to monitor credit risk in a … sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk profiles across these …

Persistent link: https://www.econbiz.de/10003831692

Bond Market Exposures to Macroeconomic and Monetary Policy Risks

Song, Dongho - 2017

The paper estimates a model that allows for shifts in the aggressiveness of monetary policy and time variation in the distribution of macroeconomic shocks. These model features induce variations in the cyclical properties of inflation and the riskiness of bonds. The estimation identifies...

Persistent link: https://www.econbiz.de/10012973281

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

Deflationary financial shocks and inflationary uncertainty shocks : an SVAR investigation

De Santis, Roberto A.; Van der Veken, Wouter - 2022

response to uncertainty shocks, firms increase their markups, in line with the theory of self-insurance against being stuck …

Persistent link: https://www.econbiz.de/10013373603

Time use and macroeconomic uncertainty

Cacciatore, Matteo; Gnocchi, Stefano; Hauser, Daniela - 2023 - Last updated: May 30, 2023

recessionary effects of uncertainty and can result in aggregate dynamics consistent with a supply-side shock. …

Persistent link: https://www.econbiz.de/10014287049

Uncertainty Shocks and Inflation Dynamics in the US

Haque, Qazi; Magnusson, Leandro M. - 2020

We estimate a time-varying parameter VAR (TVP-VAR) with stochastic volatility using post- WWII U.S. data to study the effects of uncertainty shocks on inflation. We find the response of inflation to be statistically insignificant until mid-to-late 1990s and negative thereafter. Our findings...

Persistent link: https://www.econbiz.de/10014090743