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Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2018

We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and...

Persistent link: https://www.econbiz.de/10012429974

Precautionary liquidity shocks, excess reserves and business cycles

Bratsiotis, George; Theodoridis, Konstantinos - 2020

(volatility) dependent effects on the real economy. To understand the transmission of the shock, we develop a DSGE model of …

Persistent link: https://www.econbiz.de/10012876010

Does inattentiveness matter for DSGE modelling? An empirical investigation

Chou, Jenyu; Easaw, Joshy Z.; Minford, Patrick - 2021

general equilibrium (DSGE) model in its usual form with full-information rational expectations and compare it with versions …

Persistent link: https://www.econbiz.de/10013272178

Output and Inflation in Models of the Business Cycle with Nominal Rigidities: Some Counterfactual Evidence

Paez-Farrell, Juan - Economics Section, Cardiff Business School - 2006

This paper examines the relationship between cyclical output and inflation in models commonly used for monetary policy analysis. This includes models that incorporate the New Keynesian, Fuhrer-Moore and backward-looking Phillips curves. The main finding is that these models imply a strong...

Persistent link: https://www.econbiz.de/10005212000

Output and inflation in models of the business cycle with nominal rigidities: Some counterfactual evidence

Páez-Farrell, Juan - 2006

Persistent link: https://www.econbiz.de/10010322802

Fiscal sustainability and policy interactions

Bianchi, Francesco; Callegari, Giovanni; Hitaj, Ermal; … - 2024

We build a model to study the interaction between default risk, policy changes, and financial frictions within a monetary union. The model features a centralised central bank and decentralised fiscal authorities. Countries have different reputations for fiscal stability, modelled as different...

Persistent link: https://www.econbiz.de/10015193948

State-dependent or time-dependent pricing? New evidence from a monthly firm-level survey: 1980-2017

Dixon, Huw; Grimme, Christian - 2021

We examine the relative importance of time and state dependence in the price-setting decisions of firms using a monthly panel of German firms over the period 1980-2017. We propose a refined version of time dependence by introducing different hazard functions for price increases and decreases. We...

Persistent link: https://www.econbiz.de/10012876011

UK monetary policy in an estimated DSGE model with state-dependent price and wage contracts

Chen, Haixia; Le, Vo Phuong Mai; Meenagh, David; … - 2023

into an open economy DSGE model to investigate the evidence of state-dependence in the UK economy's postwar behaviour. The …

Persistent link: https://www.econbiz.de/10014480472

A DSGE Model of China

Dai, Li; Minford, Patrick; Zhou, Peng - 2014

We use available methods for testing macro models to evaluate a model of China over the period from Deng Xiaoping's reforms up until the crisis period. Bayesian ranking methods are heavily influenced by controversial priors on the degree of price/wage rigidity. When the overall models are tested...

Persistent link: https://www.econbiz.de/10010504443

How good are out of sample forecasting Tests on DSGE models?

Minford, Patrick; Xu, Yongdeng; Zhou, Peng - 2014

Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are … on a widely-used DSGE model to investigate the power of these tests. We find that in specification testing they have weak … power relative to an in-sample indirect inference test; this implies that a DSGE model may be badly mis-specified and still …

Persistent link: https://www.econbiz.de/10010504446