1 option
Monetary Policy Uncertainty and Economic Fluctuations / Drew D. Creal, Jing Cynthia Wu.
- Format:
- Book
- Author/Creator:
- Creal, Drew D.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w20594.
- NBER working paper series no. w20594
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2014.
- Summary:
- 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.
- Notes:
- Print version record
- October 2014.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.