Risk aversion, uncertainty, and monetary policy: structural vector autoregressions identified with high-frequency external instruments

DOI10.1016/J.ECONLET.2019.108675zbMATH Open1429.91222OpenAlexW2972632838WikidataQ127254773 ScholiaQ127254773MaRDI QIDQ2292745FDOQ2292745

Authors: Woon Wook Jang 

Publication date: 5 February 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.108675

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zbMATH Keywords

uncertaintyrisk aversionhigh-frequency datamonetary policystructural vector autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• Risk aversion, uncertainty, and monetary policy in zero lower bound environments

Cited In (3)

• High-Frequency Identification of Monetary Non-Neutrality: The Information Effect*
• The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises
• Risk aversion, uncertainty, and monetary policy in zero lower bound environments

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