Uncertainty, Financial Frictions, and Nominal Rigidities: A Quantitative Investigation
| Autor: | Ambrogio Cesa-Bianchi, Emilio Fernández Corugedo |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Economics and Econometrics
Level data Monetary policy 05 social sciences Financial accelerator Econometric model Accounting 0502 economics and business Econometrics Business cycle Dynamic stochastic general equilibrium Economics General Earth and Planetary Sciences Macro 050207 economics Volatility (finance) Total factor productivity Finance General Environmental Science 050205 econometrics |
| Zdroj: | Journal of Money, Credit and Banking. 50:603-636 |
| ISSN: | 0022-2879 |
| DOI: | 10.1111/jmcb.12505 |
| Popis: | Are uncertainty shocks a major source of business cycle fluctuations? This paper studies the effect of a mean preserving shock to the variance of aggregate total factor productivity (macro†uncertainty) and to the dispersion of entrepreneurs' idiosyncratic productivity (micro†uncertainty) in a financial accelerator dynamic stochastic general equilibrium model with sticky prices. It explores the different mechanisms through which uncertainty shocks are propagated and amplified. The time†series properties of macro†and micro†uncertainty are estimated using U.S. aggregate and firm†level data, respectively. While surprise increases in micro†uncertainty have a larger impact on total output than macro†uncertainty, these can only account for a small (but nontrivial) share of output volatility. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
| Nepřihlášeným uživatelům se plný text nezobrazuje | K zobrazení výsledku je třeba se přihlásit. |