Policy shocks and volatility
Identifying Monetary Policy Shocks via Changes in Volatility
... the volatility of the shocks opens up the possibility to test different theoretical assumptions against the ...monetary policy shocks enter via the federal funds rate, nonborrowed reserves, ...
24
Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility
... the volatility effects of monetary policy ...market volatility, pushed up long-term interest rates and induced heavy losses on bond ...stochastic volatility (extended to allow for feedback ...
41
Monetary Policy Shocks: Testing Identification Conditions Under Time-Varying Conditional Volatility
... First, we describe our valid measures. The valid smoothed policy shocks exhibit a very large volatility between 1984:05 and 1985:02 reflecting several ma- jor downward surges. Interestingly, this ...
43
Monetary Policy Shocks and Exchange Rate Volatility in Nigeria
... monetary policy objectives difficult and sometimes, impossible to achieve in the long ...monetary policy stance, initiated by a change of the MRR, is initially transmitted to the nominal short-term interest ...
19
Oil shocks and volatility jumps
... oil shocks used by different agents in the economy to make their decisions, it is likely to have potentially important implications for understanding and modeling the transmission of oil price shocks to the ...
32
Fiscal volatility shocks and economic activity
... Fiscal Policy Rules with Time-Varying Volatility In this section, we estimate fiscal policy rules with time-varying volatility using time-series ...time-varying volatility in fiscal ...
47
Macroeconomic Volatility and Terms of Trade Shocks
... trade volatility has a positive and significant impact on the volatility of imports and ...since volatility in the relative prices of exports and imports is likely to reflect changes in global demand ...
45
Cote d'ivoire volatility, shocks and growth
... Produced by the Research Support Team Abstract The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of ...
37
The impact of uncertainty shocks on the volatility of commodity prices
... the volatility of commodity ...their volatility increases due to these highly uncertain conditions in the ...market volatility compared to the observable economic uncertainty measures, such as the ...
72
The impact of uncertainty shocks on the volatility of commodity prices
... 22 Tables Table 1: Descriptive Statistics and Unit Root Tests The table shows the descriptive statistics along with unit root tests (the Augmented Dickey-Fuller test with lag-length based on Schwarz information criterion ...
31
Financial Frictions, Propagation of Shocks, and Macroeconomic Volatility
... My model economy is populated by households, financial intermediaries, entrepre- neurs, capital producers, intermediate good firms, retailers, and government. En- trepreneurs are the only agents able to transform ...
187
Exposure to External Country Specific Shocks and Income Volatility
... demand shocks by GDP volatility in partner ...GDP volatility than the size of cycles in individual trading ...specific shocks. Traditionally, empirical research and policy advisers have ...
23
Policy Volatility and Growth
... of policy volatility is especially strong in countries with a weak financial sector; in contrast, countries with a high level of financial development are less vulnerable and can successfully hedge off the ...
26
CiteSeerX — Risk Matters: The Real E¤ects of Volatility Shocks
... varying volatility in the real interest rates faced by a sample of four small emerging open economies: Argentina, Ecuador, Venezuela, and ...stochastic volatility process for real interest rates using ...
50
The International Transmission of Volatility Shocks on an Emerging Economy: The Case of Malaysia
... monetary policy because it weakened the effect of the policy on ...foreign shocks on the domestic ...uncertainty shocks of a variable on the other aggregate ...unearthed shocks to US ...
24
A Note on the Asymmetry and Persistency of Shocks in Malaysian Exchange Rate Volatility
... of volatility to the shocks. The effects of shocks to the volatility of RM/GBP, RM/EURO, RM/JPY and RM/SGD are relatively less persistent with an average half-life of 1 month to 2 months in ...
12
Financial Development, Shocks, and Growth Volatility
... Development, Shocks and Growth Volatility Abstract This paper argues that studying the effect of financial development and shocks on aggregate growth volatility will not be informative because ...
51
Financial Development, Shocks, and Growth Volatility
... Development, Shocks and Growth Volatility Abstract This paper argues that studying the effect of financial development and shocks on aggregate growth volatility will not be informative because ...
51
Markups and the real effects of volatility shocks
... a volatility shock because it exacerbates the impact of volatility shocks on the real ...in volatility triggers a consumption drop because of precautionary savings ...of volatility ...
23
Volatility Shocks - A Model For Small Open Economy
... large shocks that can be an important source of economic ...high volatility, however, these economies also experience periods in which their terms of trade are comparatively ...trade volatility using ...
62