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Calibrating the equilibrium condition of a New Keynesian model with uncertainty

Kranz, Tobias - In: Review of economics 68 (2017) 2, pp. 117-151

Persistent link: https://www.econbiz.de/10011943970

Uncertain Forward Guidance

Haberis, Alex - 2017

We explore the effects of forward guidance at the zero lower bound when there is uncertainty over the lift-off date …

Persistent link: https://www.econbiz.de/10012959532

Disentangling supply-side and demand-side effects of uncertainty shocks on U.S. financial markets : identification using prices of gold and oil

Bettendorf, Timo - 2025

This paper investigates the effects of uncertainty shocks on selected U.S. financial asset prices by decomposing a … traditional uncertainty shock into its supply-side and demand-side components. Following the approach by Piffer and Podstawski … (2018), we identify uncertainty shocks using the price of gold and enhance this strategy by introducing the price of oil as …

Persistent link: https://www.econbiz.de/10015410353

Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks

Joslin, Scott - 2014

This paper quantifies how variation in real economic activity and inflation in the U.S. influenced the market prices of level, slope, and curvature risks in U.S. Treasury markets. We develop a novel arbitrage-free dynamic term structure model in which bond investment decisions are influenced by...

Persistent link: https://www.econbiz.de/10013063563

Market-Based Monetary Policy Uncertainty

Bauer, Michael D. - 2020

prices. This paper addresses the open question of how shifts in the uncertainty about future policy rates matter for the … transmission of monetary policy to financial markets. To this end, we develop a novel measure of policy uncertainty based on … derivative prices that can be used in event studies. We provide evidence for an FOMC uncertainty cycle, the systematic pattern of …

Persistent link: https://www.econbiz.de/10012849565

Layoff Risk, the Welfare Cost of Business Cycles, and Monetary Policy

Berger, David - 2019

The strongest predictor of changes in the Fed Funds rate in the period 1982–2008 was the layoff rate. That fact is puzzling from the perspective of representative-agent models of the economy, which imply that the welfare gains of stabilizing employment fluctuations are small. This paper...

Persistent link: https://www.econbiz.de/10012903995

Risk-Shifting, Concentration Risk and Heterogeneous Borrowers

Fittje, Jens - 2019

This article analyzes the effect of valuations-based capital requirements and concentration risk provisions on the risk-shifting response of the banking sector to monetary easing. It provides a closed economy DSGE model for the Euro zone with costly bank capital and two heterogeneous borrowers....

Persistent link: https://www.econbiz.de/10012864558

Doves for the rich, hawks for the poor? : distributional consequences of monetary policy

Gornemann, Nils; Küster, Keith; Nakajima, Makoto - 2016

We build a New Keynesian business-cycle model with rich household heterogeneity. A central feature is that matching frictions render labor-market risk countercyclical and endogenous to monetary policy. Our main result is that a majority of households prefer substantial stabilization of...

Persistent link: https://www.econbiz.de/10011563007

Doves for the rich, hawks for the poor? : distributional consequences of systematic monetary policy

Gornemann, Nils; Küster, Keith; Nakajima, Makoto - 2021

We build a New Keynesian business-cycle model with rich household heterogeneity. In the model, systematic monetary stabilization policy affects the distribution of income, income risks, and the demand for funds and supply of assets: the demand, because matching frictions render idiosyncratic...

Persistent link: https://www.econbiz.de/10012511775

Doves for the Rich, Hawks for the Poor? Distributional Consequences of Monetary Policy

Gornemann, Nils - 2017

Persistent link: https://www.econbiz.de/10013210409