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Financial frictions and the volatility of monetary policy in a DSGE model

Nguyen, Anh D. M. - 2015

Persistent link: https://www.econbiz.de/10012175729

DSGE Models with observation-driven time-varying volatility

Angelini, Giovanni; Gorgi, Paolo - In: Economics letters 171 (2018), pp. 169-171

Persistent link: https://www.econbiz.de/10012021819

DSGE-SVt : an econometric toolkit for high-dimensional DSGE models with SV and t errors

Chib, Siddhartha; Shin, Minchul; Tan, Fei - 2021

Persistent link: https://www.econbiz.de/10012431677

Business cycle fluctuations in Taiwan : Bayesian DSGE analysis

Lin, Yi Chun - In: Journal of macroeconomics 70 (2021), pp. 1-20

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DSGE-SVt : an econometric toolkit for high-dimensional DSGE models with SV and T errors

Chib, Siddhartha; Shin, Minchul; Tan, Fei - In: Computational economics 61 (2023) 1, pp. 69-111

Persistent link: https://www.econbiz.de/10014228405

On the stability of Calvo-style price-setting behavior

Lhuissier, Stéphane; Zabelina, Margarita - In: Journal of economic dynamics & control 57 (2015), pp. 77-95

Persistent link: https://www.econbiz.de/10011574597

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

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - In: Journal of monetary economics 114 (2020), pp. 262-282

Persistent link: https://www.econbiz.de/10012494958

The international transmission of volatility shocks : an empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2012

Persistent link: https://www.econbiz.de/10009671786

High-dimensional DSGE models : pointers on prior, estimation, comparison, and prediction

Chib, Siddhartha; Shin, Minchul; Tan, Fei - 2020

Persistent link: https://www.econbiz.de/10012373015