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
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978-82-7553-770-4
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 2013/17
- Classification
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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
- Subject
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structural VAR
uncertainty
monetary policy
- Event
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Geistige Schöpfung
- (who)
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Aastveit, Knut Are
Natvik, Gisle James
Sola, Sergio
- Event
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Veröffentlichung
- (who)
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Norges Bank
- (where)
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Oslo
- (when)
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2013
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Aastveit, Knut Are
- Natvik, Gisle James
- Sola, Sergio
- Norges Bank
Time of origin
- 2013
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