Does risk matter more in recessions than in expansions? Implications for monetary policy

• 成果类型: Article
• 署名作者: Andreasen, Martin M.; Caggiano, Giovanni; Castelnuovo, Efrem; Pellegrino, Giovanni
• 署名单位: Aarhus University; CREATES; Danish Finance Institute; University of Padua; Leibniz Association; Ifo Institut; Monash University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.10.014
• 发表日期: 2024
• 关键词: New Keynesian model; Nonlinear SVAR; Non-recursive identification; State-contingent uncertainty shock; Risky steady state

摘要

We employ a nonlinear vector autoregression and a non-recursive identification strategy to show that an equal-sized uncertainty shock generates a larger contraction in real activity when growth is low (as in recessions) than when growth is high (as in expansions). An estimated New Keynesian model with recursive preferences replicates these state-contingent responses when approximated to third order around its risky steady state due to a stronger upward nominal pricing bias in recessions than in expansions. Empirical evidence supports this state-contingent channel, and we show that it can greatly reduce the ability of systematic monetary policy to stabilize output during recessions.