Uncertainty Shocks, Banking Frictions and Economic Activity

Bonciani, Dario; Roye, Bjoern van

doi:10.2139/ssrn.2629067

Cited by 16 publications

(6 citation statements)

References 30 publications

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“…( 2014 ), Gilchrist et al. ( 2014 ), Bonciani and van Roye ( 2016 ), Arellano et al. ( 2019 ), Brand et al.…”

Section: Domestic Uncertainty: Ten Takeawaysmentioning

confidence: 99%

Uncertainty before and during COVID‐19: A survey

Castelnuovo

2022

Journal of Economic Surveys

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This survey features three parts. The first one reviews the most recent literature on the relationship between domestic (i.e., country‐specific) uncertainty and the business cycle, and offers ten main takeaways. The second part surveys contributions to the fast‐growing strand of the literature that focuses on the macroeconomic effects of uncertainty spillovers and global uncertainty. The last part presents contributions on the role played by uncertainty during the COVID‐19 pandemic.

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“…( 2014 ), Gilchrist et al. ( 2014 ), Bonciani and van Roye ( 2016 ), Arellano et al. ( 2019 ), Brand et al.…”

Section: Domestic Uncertainty: Ten Takeawaysmentioning

confidence: 99%

Uncertainty before and during COVID‐19: A survey

Castelnuovo

2022

Journal of Economic Surveys

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“…Research on RBCT models are based on unexpected shocks and exogenous variables, in other words, on unobservable patterns [ 43 ]. Those unforeseen shocks cause important fluctuations in the business cycles that in many cases are related to technology improvements and/or demand conditions [ 44 , 45 ]. However, previous literature has suggested that most of uncertainties in the real world are one-sided, as in the case of COVID-19 and requires the exploration of endogeneity of uncertainty shocks [ 42 ].…”

Section: Shock-based Business Cycles Literature Review: the Covid Imp...mentioning

confidence: 99%

Operating, financial and investment impacts of Covid-19 in SMEs: Public policy demands to sustainable recovery considering the economic sector moderating effect

Lema

Guijarro

Duréndez

2022

International Journal of Disaster Risk Reduction

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“…Nonlinear structural DSGE frameworks such as the ones proposed by Gilchrist, Sim, and Zakrajšek (2014), Arellano, Bai, and Kehoe (2019), Alfaro, Bloom, and Lin (2019), and Fernández-Villaverde and Guerron-Quintana (2020) provide economic intuitions on the role of …nancial frictions in magnifying the real e¤ects of uncertainty shocks. While all these DSGE models assume fully ‡exible prices (for an exception dealing with a calibrated model, see Bonciani and van Roye (2016)), our estimated model deals with sticky prices and focuses on the role played by monetary policy in dampening the real e¤ects of uncertainty shocks working through channels such as households'precautionary savings and precautionary labor supply and …rms'upward pricing bias. in replicating our empirical facts, therefore providing us with an empirically credible microfounded framework to perform counterfactual analysis, which is what we do in the …nal step of our investigation.…”

Section: Introductionmentioning

confidence: 99%

Uncertainty and Monetary Policy During the Great Recession

Pellegrino

Castelnuovo

Caggiano

2022

Int Economic Review

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We employ a nonlinear VAR framework and a state-of-the-art identi…cation strategy to document the large response of real activity to a …nancial uncertainty shock during and in the aftermath of the great recession. We replicate this evidence with an estimated DSGE framework featuring a concept of uncertainty comparable to that in our VAR. We then use the estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We …nd such a shock to be able to explain about 60% of the output loss in the 2008-2014 period. The same estimated model unveils the role successfully played by the Federal Reserve in limiting the output loss that would otherwise have occurred had monetary policy been conducted as in normal times. Finally, we show that the rule estimated during the great recession is able to deliver an economic outcome closer to the ‡exible price one than the rule describing the Federal Reserve's conduct in normal times.

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Uncertainty Shocks, Banking Frictions and Economic Activity

Cited by 16 publications

References 30 publications

Uncertainty before and during COVID‐19: A survey

Uncertainty before and during COVID‐19: A survey

Operating, financial and investment impacts of Covid-19 in SMEs: Public policy demands to sustainable recovery considering the economic sector moderating effect

Uncertainty and Monetary Policy During the Great Recession

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