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Deflationary financial shocks and inflationary uncertainty shocks : an SVAR investigation

De Santis, Roberto A.; Van der Veken, Wouter - 2022

response to uncertainty shocks, firms increase their markups, in line with the theory of self-insurance against being stuck …

Persistent link: https://www.econbiz.de/10013373603

Time use and macroeconomic uncertainty

Cacciatore, Matteo; Gnocchi, Stefano; Hauser, Daniela - 2023 - Last updated: May 30, 2023

recessionary effects of uncertainty and can result in aggregate dynamics consistent with a supply-side shock. …

Persistent link: https://www.econbiz.de/10014287049

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/10011928806

The scarring effects of deep contractions

Aikman, David; Drehmann, Mathias; Juselius, Mikael; … - 2022

We find that deep contractions have highly persistent scarring effects, depressing the level of GDP at least a decade hence. Drawing on a panel of 24 advanced and emerging economies from 1970 to the present, we show that these effects are nonlinear and asymmetric: there is no such persistence...

Persistent link: https://www.econbiz.de/10013382160

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 autogressive (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/10014240870

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 impact of uncertainty and financial shocks in recessions and booms

Salzmann, Leonard - 2020

The literature has widely discussed the role of financial and economic uncertainty shocks for the macroeconomy. However, it has turned out to be difficult to isolate these shocks from financial market indicators and uncertainty proxies because any identifying restriction on their response...

Persistent link: https://www.econbiz.de/10012429635

Macroeconomic Responses to Uncertainty Shocks : The Perils of Recursive Orderings

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

Persistent link: https://www.econbiz.de/10014257274

News Shocks and the Effects of Monetary Policy

Zhang, Ren - 2019

-lasting effects on output and total factor productivity (TFP). In this paper, I argue that the typical monetary shock has been … confounded with the news shock about future technology. I propose and implement a novel SVAR approach that effectively ``cleans …'' the technology component from the traditional Cholesky monetary shock. With the new identification, I find that a monetary …

Persistent link: https://www.econbiz.de/10012891083

Temporary Price Changes and the Real Effects of Monetary Policy

Kehoe, Patrick J. - 2008

policy analysis, researchers should use a menu cost model like ours or at least a third, theory-based shortcut: set the Calvo …

Persistent link: https://www.econbiz.de/10012769978