The dynamic impacts of monetary policy uncertainty shocks

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dc.contributor.authorKamara, Ahmed
dc.contributor.authorKoirala, Niraj P.
dc.creator.orcidhttps://orcid.org/0000-0002-5092-8427en_US
dc.date.accessioned2023-03-03T22:56:21Z
dc.date.available2023-03-03T22:56:21Z
dc.date.issued2023-01-06
dc.description.abstractThis paper assesses whether the impact of monetary policy uncertainty on the U.S. economy has changed over time. Estimating a Time-Varying Parameter Vector Autoregressive model on U.S. data from 1985Q1 to 2022Q3, we find that uncertainty shocks have larger negative effects on output during the COVID-19 recession than during other periods. However, financial market variables, such as stock prices and dividends, responded more significantly to uncertainty shocks during the Asian crisis of the late 1990s, the IT bubble of the 2000s, and the Great Recession. We then develop a Dynamic Stochastic General Equilibrium model with monetary policy uncertainty. Based on the calibrated model, we conduct several counterfactual exercises to demonstrate that the effects of uncertainty shocks depend on the state of the economy, which is consistent with the empirical evidence. These findings provide new insights into the time-varying nature of the impact of economic uncertainty.en_US
dc.identifier.citationKamara, Ahmed, and Niraj P. Koirala. 2023. The Dynamic Impacts of Monetary Policy Uncertainty Shocks. Economies 11: 17. https://doi.org/10.3390/ economies11010017en_US
dc.identifier.doihttps://doi.org/10.3390/ economies11010017
dc.identifier.urihttps://hdl.handle.net/1969.6/95562
dc.language.isoen_USen_US
dc.rightsAttribution 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/*
dc.subjectDSGEen_US
dc.subjectTVP-VARen_US
dc.subjectuncertainty shocksen_US
dc.subjectCOVID-19en_US
dc.titleThe dynamic impacts of monetary policy uncertainty shocksen_US
dc.typeArticleen_US

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