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Uncertainty and Monetary Policy in Good and Bad Times

Caggiano, Giovanni - 2017

financial volatility. Uncertainty shocks hitting in recessions are found to trigger a more abrupt drop and a faster recovery in …

Persistent link: https://www.econbiz.de/10012947523

Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound

Caggiano, Giovanni - 2017

We employ a parsimonious nonlinear Interacted-VAR to examine whether the real effects of uncertainty shocks are greater when the economy is at the ZeroLower Bound. We find the contractionary effects of uncertainty shocks to be statistically larger when the ZLB is binding, with differences that...

Persistent link: https://www.econbiz.de/10012947624

Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound

Caggiano, Giovanni - 2017

We employ a parsimonious nonlinear Interacted-VAR to examine whether the real effects of uncertainty shocks are greater when the economy is at the Zero Lower Bound. We find the contractionary effects of uncertainty shocks to be statistically larger when the ZLB is binding, with differences that...

Persistent link: https://www.econbiz.de/10012965454

Is the Great Moderation Ending? UK and US Evidence

Canarella, Giorgio; Fang, Wen-Shwo; Miller, Stephen M.; … - 2010

The Great Moderation, the significant decline in the variability of economic activity, provides a most remarkable feature of the macroeconomic landscape in the last twenty years. A number of papers document the beginning of the Great Moderation in the US and the UK. In this paper, we use the...

Persistent link: https://www.econbiz.de/10014215633

Technology Shocks, Statistical Models, and the Great Moderation

Fuentes-Albero, Cristina - 2015

ability of our model to replicate the volatility slowdown of the mid 1980s. First, we conclude that the stochastic growth … the neutral technology shock is the main driving force in the volatility slowdown, allowing for a larger financial … flexibility in the form of a smaller volatility for the investment-specific innovation improves the ability of our model to …

Persistent link: https://www.econbiz.de/10014049832

The origins and effects of macroeconomic uncertainty

Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896

We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...

Persistent link: https://www.econbiz.de/10014362538

Cyclical consumption

Berger, Tino; Pozzi, Lorenzo - 2023

Recessions and expansions are often caused or reinforced by developments in private consumption - the largest component of aggregate demand - which, as a result, varies over the business cycle. As such, an accurate measurement of the cyclical component of consumption and an understanding of its...

Persistent link: https://www.econbiz.de/10014380708

Deflationary financial shocks and inflationary uncertainty shocks : an SVAR investigation

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

What are the economic implications of financial and uncertainty shocks? We show that financial shocks cause a decline in output and goods prices, while uncertainty shocks cause a decline in output and an increase in goods prices. In response to uncertainty shocks, firms increase their markups,...

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

A banking explanation of the US velocity of money : 1919 - 2004

Benk, Szilárd; Gillman, Max; Kejak, Michal - 2009

velocity volatility at both business cycle and long run frequencies. With filtered velocity turning negative, starting during …. -- Volatility ; business cycles ; credit shocks ; velocity …

Persistent link: https://www.econbiz.de/10003898790

Financial openness and macroeconomic volatility

Hagen, Jürgen von (contributor); Zhang, Haiping (contributor) - 2006

We analyze the implications of financial openness to macroeconomic volatility in a small open economy. Major … macroeconomic aggregates show non-monotonic volatility patterns with respect to the degree of financial openness in the model … without domestic financial frictions. The introduction of domestic financial frictions makes the volatility patterns flatter …

Persistent link: https://www.econbiz.de/10003449265