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Cúrdia, Vasco; Del Negro, Marco; Greenwald, Daniel L. - 2012

We estimate a DSGE model where rare large shocks can occur, but replace the commonly used Gaussian assumption with a Student's t-distribution. Results from the Smets and Wouters (2007) model estimated on the usual set of macroeconomic time series over the 1964-2011 period indicate that 1) the...

Persistent link: https://www.econbiz.de/10010219714

Estimating the Impact of the Volatility of Shocks : A Structural VAR Approach

Mumtaz, Haroon - 2011

A large empirical literature has examined the transmission mechanism of structural shocks in great detail. The possible role played by changes in the volatility of shocks has largely been overlooked in vector autoregression based applications. This paper proposes an extended vector...

Persistent link: https://www.econbiz.de/10013118954

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 …

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

The changing transmission of uncertainty shocks in the US : an empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2014

develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its … shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …

Persistent link: https://www.econbiz.de/10010472799

Does Demand Volatility Lower Growth and Raise Inflation? Evidence from the Caribbean

Kandil, Magda - 2014

The paper investigates asymmetry in the allocation of aggregate demand shocks between real output growth and price inflation over the business cycle in a sample of fifteen Caribbean countries. In most countries, the evidence indicates the existence of structural constraints, implying that...

Persistent link: https://www.econbiz.de/10013053047

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 … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The … volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse …

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

Is Business Cycle Volatility Costly? Evidence from Surveys of Subjective Wellbeing

Wolfers, Justin - 2011

This paper analyzes the effects of business cycle volatility on measures of subjective well-being, including self-reported happiness and life satisfaction. I find robust evidence that high inflation and, to a greater extent, unemployment lower perceived well-being. Greater macroeconomic...

Persistent link: https://www.econbiz.de/10014033618

Time-varying business volatility, price setting, and the real effects of monetary policy

Bachmann, Ruediger; Born, Benjamin; Elstner, Steffen; … - 2013

small; the initial effect of a 25 basis point monetary policy shock to output declines from 0.347% to 0.341%. …

Persistent link: https://www.econbiz.de/10009767295

The macroeconomic effects of inflation uncertainty

Metiu, Norbert; Prieto, Esteban - 2023

increase after a positive shock to core inflation uncertainty in a vector autoregression. Endogenous changes in household … inflation expectations help to understand the transmission mechanism through which an inflation uncertainty shock generates …

Persistent link: https://www.econbiz.de/10014436184

Technology Shocks, Statistical Models, and the Great Moderation

Fuentes-Albero, Cristina - 2015

the neutral technology shock is the main driving force in the volatility slowdown, allowing for a larger financial …

Persistent link: https://www.econbiz.de/10014049832