Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/76718
Authors: 
Bonciani, Dario
van Roye, Björn
Year of Publication: 
2013
Series/Report no.: 
Kiel Working Paper 1843
Abstract: 
In this paper we investigate the effects of uncertainty shocks on economic activity using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous 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: 
Uncertainty Shocks
Financial frictions
Monetary Policy
Stochastic Volatility
Perturbation Methods
Third-order approximation
JEL: 
E32
E52
Document Type: 
Working Paper

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