MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS

• 成果类型: Article
• 署名作者: Creal, Drew D.; Wu, Jing Cynthia
• 署名单位: University of Chicago
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12253
• 发表日期: 2017
• 页码: 1317-1354
• 关键词: monte-carlo methods; term structure; stochastic volatility; simulation smoother; models; premia; IMPACT

摘要

We investigate the relationship between uncertainty about monetary policy and its transmission mechanism, and economic fluctuations. We propose a new term structure model where the second moments of macroeconomic variables and yields can have a first-order effect on their dynamics. The data favor a model with two unspanned volatility factors that capture uncertainty about monetary policy and the term premium. Uncertainty contributes negatively to economic activity. Two dimensions of uncertainty react in opposite directions to a shock to the real economy, and the response of inflation to uncertainty shocks varies across different historical episodes.