| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20594 |
| 来源ID | Working Paper 20594 |
| Monetary Policy Uncertainty and Economic Fluctuations | |
| Drew D. Creal; Jing Cynthia Wu | |
| 发表日期 | 2014-10-20 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 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 favors 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 vary across different historical episodes. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w20594 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578268 |
| 推荐引用方式 GB/T 7714 | Drew D. Creal,Jing Cynthia Wu. Monetary Policy Uncertainty and Economic Fluctuations. 2014. |
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