Artikli pealkiri: Monetary Policy or Macroeconomic Uncertainty: What is Really Driving the Business Cycle?
Autorid:
Benjamin Beckers – TalTech, Department of Economics and Finance
Lühikokkuvõte:
Uncertainty about the path of future interest rates has been found to have material effects on economic output. But interest rate uncertainty could reflect uncertainty about the strategy for the path of the policy rate (the central bank’s “reaction function”)
or uncertainty about the macroeconomic fundamentals that the central bank is targeting. This paper aims to disentangle these two distinct sources of uncertainty. To this end I estimate a structural VAR that models explicitly the endogenous relationships between
key macroeconomic variables and forecaster uncertainty about interest rates, inflation and output growth. I identify the causal effects of uncertainty through a combination of sign restrictions, external variables, and narrative restrictions on the structural
shocks. I find that shocks to inflation and output growth uncertainty are contractionary, with the effects of inflation uncertainty being largest and most persistent. By contrast, I find no evidence for material macroeconomic effects of monetary policy uncertainty.
Tallinna Tehnikaülikooli majandusanalüüsi ja rahanduse instituudi avatud teadusseminarid toimuvad tavaliselt kuu teisel ja neljandal kolmapäeval nii kohapealse kui ka veebis osalemisvõimalusega, kui ei ole teatatud teisiti. Ettekanne kestab u 45 minutit, millele järgneb veerand tundi arutelu. Seminar toimub inglise keeles. Ettekande aluseks olev artikkel on üldjuhul kättesaadav seminaril kohapeal. Küsimuste korral võib pöörduda seminaride koordinaatori Karsten Staehri [email protected] poole.