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Castelnuovo, Efrem; Pellegrino, Giovanni; Særkjær, … - 2025

We study how uncertainty shocks affect the macroeconomy across the inflation cycle using a nonlinear stochastic volatility-in-mean VAR. When inflation is high, uncertainty shocks raise inflation and depress real activity more sharply. A non-linear New Keynesian model with second-moment shocks...

Persistent link: https://www.econbiz.de/10015396830

Measuring monetary policy with residual sign restrictions at known shock dates

Badinger, Harald; Schiman, Stefan - 2020

We propose a novel identification strategy to measure monetary policy in a structural VAR. It is based exclusively on known past policy shocks, which are uncovered from high-frequency data, and does not rely on any theoretical a-priori restrictions. Our empirical analysis for the euro area...

Persistent link: https://www.econbiz.de/10012288003

Monetary policy and the relative price of durable goods

Cantelmo, Alessandro; Melina, Giovanni - 2015

findings survive three identification strategies and across subsamples. Then, they are rationalized via the estimation of a two …

Persistent link: https://www.econbiz.de/10010515460

Micro jumps, macro humps : monetary policy and business cycles in an estimated HANK model

Auclert, Adrien; Rognlie, Matthew; Straub, Ludwig - 2020

We estimate a Heterogeneous-Agent New Keynesian model with sticky household expectations that matches existing microeconomic evidence on marginal propensities to consume and macroeconomic evidence on the impulse response to a monetary policy shock. Our estimated model uncovers a central role for...

Persistent link: https://www.econbiz.de/10012154622

(Almost) recursive identification of monetary policy shocks with economic parameter restrictions

Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023

restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization … "almost recursively identified approach with parameter restrictions" leads to a solution that avoids an estimation bias …, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme. …

Persistent link: https://www.econbiz.de/10013494039

Central bank policy rates : are they cointegrated?

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017

This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...

Persistent link: https://www.econbiz.de/10011619627

Leaning against windy bank lending

Melina, Giovanni; Villa, Stefania - 2015

Using an estimated dynamic stochastic general equilibrium model with banking, this paper first provides evidence that monetary policy reacted to bank loan growth in the US during the Great Moderation. It then shows that the optimized simple interest-rate rule features virtually no response to...

Persistent link: https://www.econbiz.de/10010509577

Uncertainty-dependent effects of monetary policy shocks : a new Keynesian interpretation

Castelnuovo, Efrem; Pellegrino, Giovanni - 2017

We estimate a nonlinear VAR model to study the real effects of monetary policy shocks in regimes characterized by high vs. low macroeconomic uncertainty. We find unexpected monetary policy moves to exert a substantially milder impact in presence of high uncertainty. We then exploit the set of...

Persistent link: https://www.econbiz.de/10011781355

Shocks, frictions, and inequality in US business cycles

Bayer, Christian; Born, Benjamin; Luetticke, Ralph - 2020

How much does inequality matter for the business cycle and vice versa? Using a Bayesian likelihood approach, we estimate a heterogeneous-agent New-Keynesian (HANK) model with incomplete markets and portfolio choice between liquid and illiquid assets. The model enlarges the set of shocks and...

Persistent link: https://www.econbiz.de/10012162730

Macroeconomic shocks and racial labour market differences in the U.S.

De, Kuhelika; Compton, Ryan A.; Giedeman, Daniel C.; … - 2019

Using 136 United States macroeconomic indicators from 1973 to 2017, and a factor augmented vector autoregression (FAVAR) framework with sign restrictions, we investigate the effects of three structural macroeconomic shocks - monetary, demand, and supply - on the labour market outcomes of black...

Persistent link: https://www.econbiz.de/10012157899