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Interest Rate Surprises : A Tale of Two Shocks

Nunes, Ricardo Cavaco; Ozdagli, Ali; Tang, Jenny - 2022

policy shock) and interest rate movements driven by exogenous information about the economy from the central bank (the … information shock). In order to disentangle the effects of these two shocks, we use interest rate changes on days of macroeconomic …

Persistent link: https://www.econbiz.de/10013492595

Forward guidance and the state of the economy

Keen, Benjamin D.; Richter, Alexander W.; Throckmorton, … - 2016 - This draft: May 19, 2016

guidance. Forward guidance via a news shock is less stimulative than an unanticipated monetary policy shock around the steady … state, but a news shock is more stimulative near the ZLB and always has a larger cumulative effect on output. When the …

Persistent link: https://www.econbiz.de/10011567922

Do monetary policy announcements shift household expectations?

Lewis, Daniel J.; Makridis, Christos A.; Mertens, Karel - 2019

We use daily survey data from Gallup to assess whether households' beliefs about economic conditions are influenced by surprises in monetary policy announcements. We first provide more general evidence that public confidence in the state of the economy reacts to certain types of macroeconomic...

Persistent link: https://www.econbiz.de/10012227486

Uncertainty Shocks in a Model of Effective Demand : Comment

Richter, Alexander W.; De Groot, Oliver; Throckmorton, … - 2018

Basu and Bundick (2017) show a second moment intertemporal preference shock creates meaningful declines in output in a … sticky price model with Epstein and Zin (1991) preferences. The result, however, rests on the way they model the shock. If a … preference shock is included in Epstein-Zin preferences, the distributional weights on current and future utility must sum to 1 …

Persistent link: https://www.econbiz.de/10014121010

Uncertainty, Shock Prices and Debt Structure : Evidence from the U.S.-China Trade War

Ozdagli, Ali K.; Wang, Jianlin - 2022

Using the recent U.S.-China trade war as a laboratory, we show that policy uncertainty shocks have a significant impact on stock prices. This impact is less negative for firms that heavily rely on bank debt whereas non-bank debt does not have a mitigating effect. Moreover, the mitigating effect...

Persistent link: https://www.econbiz.de/10013492596

The Returns to Government R&D : Evidence from U.S. Appropriations Shocks

Fieldhouse, Andrew; Mertens, Karel - 2023

We estimate the causal impact of government-funded R&D on business-sector productivity growth. Identification is based on a novel narrative classification of all significant postwar changes in appropriations for R&D funded by five major federal agencies. Using long-horizon local projections and...

Persistent link: https://www.econbiz.de/10014356611

Jointly Estimating Macroeconomic News and Surprise Shocks

Kilian, Lutz; Plante, Michael; Richter, Alexander W. - 2023

This paper clarifies the conditions under which the state-of-the-art approach to identifying TFP news shocks in Kurmann and Sims (2021, KS) identifies not only news shocks but also surprise shocks. We examine the ability of the KS procedure to recover responses to these shocks from data...

Persistent link: https://www.econbiz.de/10014357201

Macroeconomic Responses to Uncertainty Shocks : The Perils of Recursive Orderings

Kilian, Lutz; Plante, Michael; Richter, Alexander W. - 2022

A common practice in empirical macroeconomics is to examine alternative recursive orderings of the variables in structural vector autoregressive (VAR) models. When the implied impulse responses look similar, the estimates are considered trustworthy. When they do not, the estimates are used to...

Persistent link: https://www.econbiz.de/10014241670

The propagation of regional shocks in housing markets : evidence from oil price shocks in Canada

Kilian, Lutz; Zhou, Xiaoqing - 2019 - This version: September 4, 2019

Shocks to the demand for housing that originate in one region may seem important only for that regional housing market. We provide evidence that such shocks can also affect housing markets in other regions. Our analysis focuses on the response of Canadian housing markets to oil price shocks. Oil...

Persistent link: https://www.econbiz.de/10012227501

Refining the workhorse oil market model

Zhou, Xiaoqing - 2019

The Kilian and Murphy (2014) structural vector autoregressive model has become the workhorse model for the analysis of oil markets. I explore various refinements and extensions of this model, including the effects of (1) correcting an error in the measure of global real economic activity, (2)...

Persistent link: https://www.econbiz.de/10012230336