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We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification. By allowing for rich dynamic interaction between the...
Persistent link: https://www.econbiz.de/10013243822
This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...
Persistent link: https://www.econbiz.de/10013065408
In this paper we investigate the effects of uncertainty shocks on economic activity in the euro area by 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...
Persistent link: https://www.econbiz.de/10013019593
intermediation turns an otherwise diversifiable source of idiosyncratic economic uncertainty, the ‘risk shock’, into a systemic force … alter the perception of market risk and hit financial intermediation — ‘financial factors’ in short — are prime determinants …
Persistent link: https://www.econbiz.de/10013316211
additional insights on both first and higher moments of the GDP growth distribution. If a recession is due to an unforeseen shock … the crisis and the macroeconomic risk involved, because downside risks increase as financial stress and corporate spreads …
Persistent link: https://www.econbiz.de/10012829414
This paper studies the role of sticky prices for the monetary transmission mechanism, using disaggregated industry-level data from 205 US industries. There is substantial heterogeneity in the output responses of industries to monetary policy surprises. I show that an industry's response to...
Persistent link: https://www.econbiz.de/10013315283
models of financial frictions. Banks can reject borrowers whose risk is above an endogenous threshold at which no lending … rate sufficiently compensates banks for the borrowers’ default risk. Firms denied credit cut employment and labor …
Persistent link: https://www.econbiz.de/10013315376
Using a new survey of European households, we study how exogenous variation in the macroeconomic uncertainty perceived by households affects their spending decisions. We use randomized information treatments that provide different types of information about the first and/or second moments of...
Persistent link: https://www.econbiz.de/10013225751
What are the drivers of business cycle fluctuations? And how many are there? By documenting strong and predictable co-movement of real variables during the business cycle in a sample of advanced economies, we argue that most business cycle fluctuations are driven by one major factor. The...
Persistent link: https://www.econbiz.de/10012956242
We provide a new theory of expectations-driven business cycles in which consumers' learning from prices dramatically alters the effects of aggregate shocks. Learning from prices causes changes in aggregate productivity to shift aggregate beliefs, generating positive price-quantity comovement....
Persistent link: https://www.econbiz.de/10012956266