Arbeitspapier

Economic Uncertainty and the Effectiveness of Monetary Policy

This paper explores if economic uncertainty alters the macroeconomic influence of monetary policy. We consider several measures of U.S. economic uncertainty, and estimate their interaction effects with monetary policy shocks as identified through structural vector autoregressions. We find that monetary policy shocks affect economic activity considerably weaker when uncertainty is high, consistently with "real-options" effects suggested by models with non-convex adjustment costs. Investment responds two to five times weaker when uncertainty is in its upper instead of its lower decile. High U.S. uncertainty is associated with lower policy influence not only domestically, but in Canada too.

ISBN
978-82-7553-770-4
Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 2013/17

Klassifikation
Wirtschaft
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Thema
structural VAR
uncertainty
monetary policy

Ereignis
Geistige Schöpfung
(wer)
Aastveit, Knut Are
Natvik, Gisle James
Sola, Sergio
Ereignis
Veröffentlichung
(wer)
Norges Bank
(wo)
Oslo
(wann)
2013

Handle
Letzte Aktualisierung
10.03.2025, 11:45 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.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Aastveit, Knut Are
  • Natvik, Gisle James
  • Sola, Sergio
  • Norges Bank

Entstanden

  • 2013

Ähnliche Objekte (12)