Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/230427 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
Cardiff Economics Working Papers No. E2018/21
Verlag: 
Cardiff University, Cardiff Business School, Cardiff
Zusammenfassung: 
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 matching labour frictions and Epstein-Zin preferences we show that these volatility effects are driven by the coexistence of agents' fears of unemployment and concerns about the (in) ability of the monetary authority to reverse deviations from the policy rule with the impact magnified by the agents' preferences.
Schlagwörter: 
DSGE
Non-Linear SVAR
New Keynesian
Search and Matching Frictions
Epstein-Zin preferences
Stochastic Volatility
JEL: 
E30
E40
E52
C11
C13
C15
C50
Dokumentart: 
Working Paper

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