evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as …

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

periods, while inclusion of our spread variables improves predictive accuracy in times of high volatility. -- diffusion index … ; factor ; federal reserve bank ; forecast ; macroeconometrics ; monetary policy ; parameter estimation error ; proxy …

to this measure as financial volatility. First, I show that the idiosyncratic risk highlighted by models with a financial … model and structural vector autoregressions, I show that exogenous movements in financial volatility cause substantial and … evidence of a feedback effect between credit spreads and financial volatility …