Uncertainty shocks, banking frictions and economic activity

DOI10.1016/J.JEDC.2016.09.008MaRDI QIDQ1656451zbMATH OpenOpenAlexFDO

Authors Dario Bonciani, Björn van Roye

Publication date 10 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/154258

zbMATH Keywords

financial frictionsperturbation methodsstochastic volatilitythird-order approximationuncertainty shocks

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51) Economic growth models (91B62) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
• Error Bands for Impulse Responses
• Monopolistic Price Adjustment and Aggregate Output
• Should monetary policy lean against the wind? An analysis based on a DSGE model with banking
• Solving DSGE models with a nonlinear moving average
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• The Impact of Uncertainty Shocks

Cited in

(13)

• The macroeconomic effects of uncertainty shocks: the role of the financial channel
• Financial shocks, comovement and credit frictions
• Uncertainty and the real effects of monetary policy shocks in the euro area
• Are uncertainty shocks aggregate demand shocks?
• Banking sector concentration, credit shocks and aggregate fluctuations
• Do banking shocks matter for the U.S. Economy?
• UNCERTAINTY AND MONETARY POLICY DURING THE GREAT RECESSION
• Macroeconomic uncertainty and bank lending
• Heterogeneity in the effects of uncertainty shocks on labor market dynamics and extensive vs. intensive margins of adjustment
• Endogenous uncertainty and credit crunches
• Sovereign uncertainty
• Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: The Importance of Model Size, Order-Invariance and Classification
• The role of bank capital in the propagation of shocks

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