Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154258
Authors: 
Bonciani, Dario
van Roye, Björn
Year of Publication: 
2015
Series/Report no.: 
ECB Working Paper 1825
Abstract: 
In this paper we investigate the effects of uncertainty shocks on economic activity in the euro area by using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogeneous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty shocks on economic activity. This amplification channel stems mainly from the stickiness in banking retail interest rates. This stickiness reduces the effectiveness in the transmission mechanism of monetary policy.
Subjects: 
Financial frictions
Perturbation Methods
Stochastic Volatility
Third-order approximation
Uncertainty Shocks
JEL: 
E32
E52
ISBN: 
978-92-899-1638-7
Document Type: 
Working Paper

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