Arbeitspapier
Why does risk matter more in recessions than in expansions?
This paper uses a nonlinear vector autoregression and a non-recursive identiÖcation strategy to show that an equal-sized uncertainty shock generates a larger contraction in real activity when growth is low (as in recessions) than when growth is high (as in expansions). An estimated New Keynesian model with recursive preferences and approximated to third order around its risky steady state replicates these state-dependent responses. The key mechanism behind this result is that Örms display a stronger upward nominal pricing bias in recessions than in expansions, because recessions imply higher ináation volatility and higher marginal utility of consumption than expansions.
- ISBN
-
978-952-323-388-1
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Finland Research Discussion Papers ; No. 13/2021
- Klassifikation
-
Wirtschaft
- Thema
-
New Keynesian Model
Nonlinear SVAR
Non-recursive identiÖcation
State-dependent uncertainty shock
Risky steady state
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Andreasen, Martin Møller
Caggiano, Giovanni
Castelnuovo, Efrem
Pellegrino, Giovanni
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
2021
- 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
- Arbeitspapier
Beteiligte
- Andreasen, Martin Møller
- Caggiano, Giovanni
- Castelnuovo, Efrem
- Pellegrino, Giovanni
- Bank of Finland
Entstanden
- 2021
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