Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210040
Authors: 
Aastveit, Knut Are
Natvik, Gisle James
Sola, Sergio
Year of Publication: 
2013
Series/Report no.: 
Working Paper No. 2013/17
Abstract: 
This paper explores if economic uncertainty alters the macroeconomic influence of monetary policy. We consider several measures of U.S. economic uncertainty, and estimate their interaction effects with monetary policy shocks as identified through structural vector autoregressions. We find that monetary policy shocks affect economic activity considerably weaker when uncertainty is high, consistently with "real-options" effects suggested by models with non-convex adjustment costs. Investment responds two to five times weaker when uncertainty is in its upper instead of its lower decile. High U.S. uncertainty is associated with lower policy influence not only domestically, but in Canada too.
Subjects: 
structural VAR
uncertainty
monetary policy
JEL: 
E30
E32
E37
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-770-4
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Working Paper
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