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Chapter 20. Term Structure of Uncertainty in the Macroeconomy

Borovička, J.; Hansen, L.P. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1641-1696). 2016

Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...

Persistent link: https://www.econbiz.de/10014024262

The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks

Gospodinov, Nikolay - 2015

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

Persistent link: https://www.econbiz.de/10013026088

The response of stock market volatility to futures-based measures of monetary policy shocks

Gospodinov, Nikolaj; Jamali, Ibrahim - 2014

Persistent link: https://www.econbiz.de/10010395968

Stock and sovereign returns linkages : time-varying causality and extreme-quantile determinants

Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025

periods of heightened volatility. We also measure causality in volatilities extending well-known approaches analyzing … volatility transmission. We find significant cross-market relationships between U.S. and German stock and bond markets …

Persistent link: https://www.econbiz.de/10015197299

Sign restrictions and statistical identification under volatility breaks : simulation based evidence and an empirical application to monetary policy analysis ; conference paper

Herwartz, Helmut; Plödt, Martin - 2014

Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...

Persistent link: https://www.econbiz.de/10010482469

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

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 …

Persistent link: https://www.econbiz.de/10011389786

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 … these volatility effects are driven by the coexistence of agents' fears of unemployment and concerns about the (in) ability …

Persistent link: https://www.econbiz.de/10011928806

Identifying Monetary Policy Shocks Via Changes in Volatility

Lanne, Markku - 2013

data properties. In particular, it is shown that changes in the volatility of the shocks can be used for identification …

Persistent link: https://www.econbiz.de/10012754187

The Response of Asset Prices to Monetary Policy Shocks : Stronger than Thought

Alessi, Lucia - 2016

Mainstream macroeconomic theory predicts a rapid response of asset prices to monetary policy shocks, which conventional … mainstream theory and the observed large swings in asset prices. Our results point to stronger financial stability consequences …

Persistent link: https://www.econbiz.de/10012980994

The relation between monetary policy and the stock market in Europe

Lütkepohl, Helmut; Netšunajev, Aleksei - In: Econometrics : open access journal 6 (2018) 3, pp. 1-14

We use a cointegrated structural vector autoregressive model to investigate the relation between monetary policy in the euro area and the stock market. Since there may be an instantaneous causal relation, we consider long-run identifying restrictions for the structural shocks and also used...

Persistent link: https://www.econbiz.de/10011887655