Policy risk and the business cycle

• 成果类型: Article
• 署名作者: Born, Benjamin; Pfeifer, Johannes
• 署名单位: University of Mannheim; Leibniz Association; Ifo Institut
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.07.012
• 发表日期: 2014
• 页码: 68-85
• 关键词: Policy risk; uncertainty; aggregate fluctuations; particle filter; nominal rigidities

摘要

The argument that uncertainty about monetary and fiscal policy has been holding back the recovery in the U.S. during the Great Recession has a large popular appeal. This paper uses an estimated New Keynesian model to analyze the role of policy risk in explaining business cycles. We directly measure risk from aggregate data and find a moderate amount of time-varying policy risk. The pure uncertainty effect of this policy risk is unlikely to play a major role in business cycle fluctuations. In the estimated model, output effects are relatively small because policy risk shocks are (i) too small and (ii) not sufficiently amplified. (C) 2014 Elsevier B.V. All rights reserved.