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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

A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis

Scheffknecht, Lukas; Geiger, Felix - 2011

We merge a financial market model with leverage-constrained, heterogeneous agents with a reduced-form version of the New-Keynesian standard model. Agents in both submodels are assumed to be boundedly rational. The financial market model produces endogenously arising boom-bust cycles. It is also...

Persistent link: https://www.econbiz.de/10009384917

Would the Bundesbank Have Prevented the Great Inflation in the United States?

Benati, Luca - 2009

Policy counterfactuals based on estimated structural VARs routinely suggest that bringing Alan Greenspan back in the 1970s' United States would not have prevented the Great Inflation. We show that a standard policy counterfactual suggests that the Bundesbank – which is near-universally...

Persistent link: https://www.econbiz.de/10013153230

Would the Bundesbank have prevented the Great Inflation in the United States?

Benati, Luca - 2009

Persistent link: https://www.econbiz.de/10003969295

Interest rate and exchange rate volatility spillovers : multiscale perspective of monetary policy transmission in Ghana

Akosah, Nana Kwame; Alagidede, Paul; Schaling, Eric - In: Journal of central banking theory and practice 9 (2020) 1, pp. 135-167

Persistent link: https://www.econbiz.de/10012167220

Macroeconomic and Interest Rate Volatility Under Alternative Monetary Operating Procedures

Gerlach, Petra - 2013

During the financial crisis of 2007/08 the level and volatility of interest rate spreads increased dramatically. This paper examines how the choice of the target interest rate for monetary policy affects the volatility of inflation, the output gap and the yield curve. We consider three monetary...

Persistent link: https://www.econbiz.de/10013094188

Money Market Volatility − A Simulation Study

Kempa, Michal - 2007

This paper analyses different operational central bank policies and their impact on the behaviour of the money market interest rate. The model combines profit maximising behaviour by commercial banks with the central bank supplying the liquidity that keeps the market rate on target. It seems...

Persistent link: https://www.econbiz.de/10014223773

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575

Real-time forecast evaluation of DSGE models with stochastic volatility

Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - 2017 - This Version: August 18, 2016

Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against that background, we explore whether incorporating...

Persistent link: https://www.econbiz.de/10011755749

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

Diebold, Francis X. - 2015

Persistent link: https://www.econbiz.de/10013022416