Dynamic effects of monetary policy shocks on macroeconomic volatility

• 成果类型: Article
• 署名作者: Mumtaz, Haroon; Theodoridis, Konstantinos
• 署名单位: University of London; Queen Mary University London; Cardiff University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.03.011
• 发表日期: 2020
• 页码: 262-282
• 关键词: dsge; Non-Linear SVAR; New Keynesian; Search and matching frictions; Epstein-Zin preferences; stochastic volatility

摘要

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. (c) 2019 Elsevier B.V. All rights reserved.