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

shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

central banks' loss function proves to be the rule augmented with asset prices. The optimal reactions are, however, shock- and …

Structural DSGE models are used for analyzing both policy and the sources of business cycles. Conclusions based on full … based on narrative shocks. This paper asks whether both approaches agree. Specifically, I use narrative data in a DSGE …‐SVAR that partially identify policy shocks in the VAR and assess the fit of the DSGE model relative to this narrative benchmark …

estimate a non-linear DSGE model with a heterogeneous banking sector and an occasionally binding borrowing constraint. The …

This paper presents a New Keynesian DSGE model with inventory holding firms. The model distinguishes between goods and … and they explain the volatility of many variables. We reject the hypothesis of better inventory management and improved …

. Consistent with the predictions from our hypothesis we find: Monetary policy shock estimates obtained from New Keynesian DSGE … hypothesise that New Keynesian DSGE models that do not feature powerful financial spillover channels confound the effects of … data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature …