Konferenzbeitrag
Macroeconomic Effects of Financial Uncertainty
This paper investigates the macroeconomic effects of uncertainty originating in the financial sector. My contribution is twofold. First, I document empirical relevenace of financial uncertainty using SVAR methods. Then, I employ the DSGE framework developed by Gertler and Karadi (2011) to uncover the underlying transmission mechanism. The model generates macroeconomic dynamics that are consistent with the SVAR evidence. In particular, an increase in financial uncertainty raises the risk premium and leads to a decline in output, consumption, investment and hours worked. This outcome arises mainly because of an endogenous tightening of the financial constraint, which in turn triggers the financial accelerator mechanism. Finally, internal habit formation and nominal rigidities act as additional amplification mechanisms for financial uncertainty shocks.
- Sprache
-
Englisch
- Erschienen in
-
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2018: Digitale Wirtschaft - Session: Macrofinance I ; No. E11-V3
- Klassifikation
-
Wirtschaft
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
Macroeconomics: Consumption; Saving; Wealth
- Thema
-
Stochastic Volatility
Financial Frictions
Financial Uncertainty
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dlugoszek, Grzegorz
- Ereignis
-
Veröffentlichung
- (wer)
-
ZBW - Leibniz-Informationszentrum Wirtschaft
- (wo)
-
Kiel, Hamburg
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Konferenzbeitrag
Beteiligte
- Dlugoszek, Grzegorz
- ZBW - Leibniz-Informationszentrum Wirtschaft
Entstanden
- 2018
Ähnliche Objekte (12)
Spatial Effects On Macroeconomic Equilibrium
Uncertainty and non-linear macroeconomic effects of fiscal policy in the US: A SEIVAR-based analysis
Financial Intermediation, Asset Prices, and Macroeconomic Dynamics
Macroeconomic implications of the German financial equalization system
Macroeconomic and Distributional Effects of Higher Minimum Wages
The Regional Effects of Macroeconomic Shocks in China
Identifying macroeconomic effects of refugee migration to Germany
Fiscal Policy in the Bundestag: Textual Analysis and Macroeconomic Effects
The Impact of Uncertainty and Financial Shocks in Recessions and Booms
Interactions between financial markets and macroeconomic variables in EU: a nonlinear modeling approach
Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty
Asymmetric Macroeconomic Effects of QE and Excess Reserves in a Monetary Union
Spatial Effects On Macroeconomic Equilibrium
Uncertainty and non-linear macroeconomic effects of fiscal policy in the US: A SEIVAR-based analysis
Financial Intermediation, Asset Prices, and Macroeconomic Dynamics
Macroeconomic implications of the German financial equalization system
Macroeconomic and Distributional Effects of Higher Minimum Wages
The Regional Effects of Macroeconomic Shocks in China
Identifying macroeconomic effects of refugee migration to Germany
Fiscal Policy in the Bundestag: Textual Analysis and Macroeconomic Effects
The Impact of Uncertainty and Financial Shocks in Recessions and Booms
Interactions between financial markets and macroeconomic variables in EU: a nonlinear modeling approach
Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty
Asymmetric Macroeconomic Effects of QE and Excess Reserves in a Monetary Union
Spatial Effects On Macroeconomic Equilibrium
Uncertainty and non-linear macroeconomic effects of fiscal policy in the US: A SEIVAR-based analysis
Financial Intermediation, Asset Prices, and Macroeconomic Dynamics
Macroeconomic implications of the German financial equalization system
Macroeconomic and Distributional Effects of Higher Minimum Wages
The Regional Effects of Macroeconomic Shocks in China
Identifying macroeconomic effects of refugee migration to Germany
Fiscal Policy in the Bundestag: Textual Analysis and Macroeconomic Effects
The Impact of Uncertainty and Financial Shocks in Recessions and Booms
Interactions between financial markets and macroeconomic variables in EU: a nonlinear modeling approach
Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty