Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/130774 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Working Paper No. 760
Verlag: 
Queen Mary University of London, School of Economics and Finance, London
Zusammenfassung: 
We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and 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 volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse deviations from the policy rule and the results are re-enforced by the presence of non-zero trend inflation.
Schlagwörter: 
DSGE
Non-linear SVAR
New Keynesian
Non-zero steady state inflation
Epstein-Zin preferences
Stochastic volatility
JEL: 
E30
E40
E52
C11
C13
C15
C50
Dokumentart: 
Working Paper

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