Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse …
