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The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

Citations

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Cited by:

  1. Robert Kollmann, 2015. "Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning," Computational Economics, Springer;Society for Computational Economics, vol. 45(2), pages 239-260, February.
  2. Drautzburg, Thorsten & Fernández-Villaverde, Jesús & Guerrón-Quintana, Pablo, 2021. "Bargaining shocks and aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  3. Mumtaz, Haroon & Theodoridis, Konstantinos, 2017. "Common and country specific economic uncertainty," Journal of International Economics, Elsevier, vol. 105(C), pages 205-216.
  4. Julio A. Carrillo & Enrique G. Mendoza & Victoria Nuguer & Jessica Roldán-Peña, 2021. "Tight Money-Tight Credit: Coordination Failure in the Conduct of Monetary and Financial Policies," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(3), pages 37-73, July.
  5. Jaccard, Ivan, 2022. "The trade-off between public health and the economy in the early stage of the COVID-19 pandemic," Working Paper Series 2690, European Central Bank.
  6. Francesco Bianchi & Cosmin L. Ilut & Martin Schneider, 2018. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(2), pages 810-854.
  7. Jinill Kim & Francisco Ruge‐Murcia, 2019. "Extreme Events And Optimal Monetary Policy," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 60(2), pages 939-963, May.
  8. Mathias Krogh & Giovanni Pellegrino, "undated". "Real Activity and Uncertainty Shocks: The Long and the Short of It," "Marco Fanno" Working Papers 0310, Dipartimento di Scienze Economiche "Marco Fanno".
  9. Tao Zha & Juan F. Rubio-Ramirez & Daniel F. Waggoner & Andrew T. Foerster, 2010. "Perturbation Methods for Markov-Switching Models," 2010 Meeting Papers 239, Society for Economic Dynamics.
  10. Caiani, Alessandro & Godin, Antoine & Caverzasi, Eugenio & Gallegati, Mauro & Kinsella, Stephen & Stiglitz, Joseph E., 2016. "Agent based-stock flow consistent macroeconomics: Towards a benchmark model," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 375-408.
  11. Ferrari Minesso, Massimo & Pagliari, Maria Sole, 2023. "No country is an island. International cooperation and climate change," Journal of International Economics, Elsevier, vol. 145(C).
  12. Cho, Daeha & Han, Yoonshin & Oh, Joonseok & Rogantini Picco, Anna, 2021. "Uncertainty shocks, precautionary pricing, and optimal monetary policy," Journal of Macroeconomics, Elsevier, vol. 69(C).
  13. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2023. "Uncertainty And Monetary Policy During The Great Recession," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(2), pages 577-606, May.
  14. Kollmann, Robert, 2015. "Risk Sharing in a World Economy with Uncertainty Shocks," CEPR Discussion Papers 10940, C.E.P.R. Discussion Papers.
  15. Mumtaz, Haroon & Theodoridis, Konstantinos, 2020. "Dynamic effects of monetary policy shocks on macroeconomic volatility," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 262-282.
  16. Benjamin Born & Johannes Pfeifer, 2021. "Uncertainty‐driven business cycles: Assessing the markup channel," Quantitative Economics, Econometric Society, vol. 12(2), pages 587-623, May.
  17. Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana, 2021. "Estimating DSGE Models: Recent Advances and Future Challenges," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 229-252, August.
  18. Bonciani, Dario & Oh, Joonseok Jason, 2019. "The long-run effects of uncertainty shocks," Bank of England working papers 802, Bank of England.
  19. He, Zhaochen, 2019. "Fear itself: How risk sensitive firms can give demand shocks bite," Economic Modelling, Elsevier, vol. 82(C), pages 437-452.
  20. Jesús Fernández‐Villaverde & Oren Levintal, 2018. "Solution methods for models with rare disasters," Quantitative Economics, Econometric Society, vol. 9(2), pages 903-944, July.
  21. Jesús Fernández‐Villaverde & Samuel Hurtado & Galo Nuño, 2023. "Financial Frictions and the Wealth Distribution," Econometrica, Econometric Society, vol. 91(3), pages 869-901, May.
  22. Fabio Canova & Christian Matthes, 2021. "A Composite Likelihood Approach for Dynamic Structural Models," The Economic Journal, Royal Economic Society, vol. 131(638), pages 2447-2477.
  23. Born, Benjamin & Pfeifer, Johannes, 2014. "Policy risk and the business cycle," Journal of Monetary Economics, Elsevier, vol. 68(C), pages 68-85.
  24. Andrew Foerster & Juan F. Rubio‐Ramírez & Daniel F. Waggoner & Tao Zha, 2016. "Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models," Quantitative Economics, Econometric Society, vol. 7(2), pages 637-669, July.
  25. Mr. Alessandro Cantelmo & Mr. Giovanni Melina, 2017. "Sectoral Labor Mobility and Optimal Monetary Policy," IMF Working Papers 2017/040, International Monetary Fund.
  26. Born, Benjamin & Müller, Gernot & Pfeifer, Johannes, 2020. "Uncertainty shocks in currency unions," CEPR Discussion Papers 15579, C.E.P.R. Discussion Papers.
  27. Xiang, Jingjie & Li, Li, 2022. "Monetary policy uncertainty, debt financing cost and real economic activities: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1025-1044.
  28. Gross, Isaac & Hansen, James, 2021. "Optimal policy design in nonlinear DSGE models: An n-order accurate approximation," European Economic Review, Elsevier, vol. 140(C).
  29. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020. "Uncertainty and Monetary Policy during Extreme Events," CESifo Working Paper Series 8561, CESifo.
  30. Roman Horvath & Lorant Kaszab & Ales Marsal, 2022. "Interest rate rules and inflation risks in a macro‐finance model," Scottish Journal of Political Economy, Scottish Economic Society, vol. 69(4), pages 416-440, September.
  31. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana, 2020. "Uncertainty Shocks and Business Cycle Research," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 118-166, August.
  32. Den Haan, Wouter J. & Freund, Lukas B. & Rendahl, Pontus, 2021. "Volatile hiring: uncertainty in search and matching models," Journal of Monetary Economics, Elsevier, vol. 123(C), pages 1-18.
  33. Ales Marsal & Katrin Rabitsch & Lorant Kaszab, 2023. "Undesired Consequences of Calvo Pricing in a Non-linear World," Working and Discussion Papers WP 1/2023, Research Department, National Bank of Slovakia.
  34. Adjemian, Stéphane & Bastani, Houtan & Juillard, Michel & Karamé, Fréderic & Mihoubi, Ferhat & Mutschler, Willi & Pfeifer, Johannes & Ratto, Marco & Rion, Normann & Villemot, Sébastien, 2022. "Dynare: Reference Manual Version 5," Dynare Working Papers 72, CEPREMAP, revised Mar 2023.
    • Stéphane Adjemian & Houtan Bastani & Michel Juillard & Frédéric Karamé & Ferhat Mihoubi & Willi Mutschler & Johannes Pfeifer & Marco Ratto & Sébastien Villemot & Normann Rion, 2023. "Dynare: Reference Manual Version 5," PSE Working Papers hal-04219920, HAL.
    • Stéphane Adjemian & Houtan Bastani & Michel Juillard & Frédéric Karamé & Ferhat Mihoubi & Willi Mutschler & Johannes Pfeifer & Marco Ratto & Sébastien Villemot & Normann Rion, 2023. "Dynare: Reference Manual Version 5," Working Papers hal-04219920, HAL.
  35. Jiaqian Chen & Daria Finocchiaro & Jesper Linde & Karl Walentin, 2023. "The costs of macroprudential deleveraging in a liquidity trap"," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 991-1011, December.
  36. Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why Does Risk Matter More in Recessions than in Expansions?," Monash Economics Working Papers 2021-11, Monash University, Department of Economics.
  37. Callum Jones & Mr. Pau Rabanal, 2021. "Credit Cycles, Fiscal Policy, and Global Imbalances," IMF Working Papers 2021/043, International Monetary Fund.
  38. Christopher Otrok & Andrew Foerster & Alessandro Rebucci & Gianluca Benigno, 2017. "Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime Switching Approach," 2017 Meeting Papers 572, Society for Economic Dynamics.
  39. Robert Kollmann, 2015. "Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences," Open Economies Review, Springer, vol. 26(2), pages 175-196, April.
  40. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
  41. Grzegorz R. Dlugoszek, 2016. "Solving DSGE Portfolio Choice Models with Asymmetric Countries," SFB 649 Discussion Papers SFB649DP2016-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  42. Andreasen, Martin M. & Jørgensen, Kasper, 2020. "The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models," Journal of Monetary Economics, Elsevier, vol. 111(C), pages 95-117.
  43. Andrew T. Foerster, 2016. "Monetary Policy Regime Switches And Macroeconomic Dynamics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(1), pages 211-230, February.
  44. Oliver de Groot & Ceyhun Bora Durdu & Enrique G. Mendoza, 2019. "Approximately Right?: Global v. Local Methods for Open-Economy Models with Incomplete Markets," NBER Working Papers 26426, National Bureau of Economic Research, Inc.
  45. Vadym Lepetyuk & Lilia Maliar & Serguei Maliar, 2017. "Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models?," Staff Working Papers 17-21, Bank of Canada.
  46. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
  47. Nathan S. Balke & Enrique Martínez García & Zheng Zeng, 2017. "Understanding the Aggregate Effects of Credit Frictions and Uncertainty," Globalization Institute Working Papers 317, Federal Reserve Bank of Dallas.
  48. Samil Oh & Thepthida Sopraseuth, 2017. "Firm entry, Search and Matching in a Small Open Economy Faced with Uncertainty Shocks: The case of Korea," THEMA Working Papers 2017-27, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  49. Jan-Philipp Dueber, 2018. "Endogenous Time-Varying Volatility and Emerging Market Business Cycles," Studies in Economics 1811, School of Economics, University of Kent.
  50. Horvath, Roman & Kaszab, Lorant & Marsal, Ales, 2021. "Equity premium and monetary policy in a model with limited asset market participation," Economic Modelling, Elsevier, vol. 95(C), pages 430-440.
  51. Bertrand Achou & Hippolyte d'Albis & Eleni Iliopulo, 2021. "House prices and rents: a reappraisal," Cahiers de recherche / Working Papers 6, Institut sur la retraite et l'épargne / Retirement and Savings Institute.
  52. Ajevskis, Viktors, 2019. "Nonlocal Solutions To Dynamic Equilibrium Models: The Approximate Stable Manifolds Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 23(6), pages 2544-2571, September.
  53. Levieuge, Grégory & Sahuc, Jean-Guillaume, 2021. "Downward interest rate rigidity," European Economic Review, Elsevier, vol. 137(C).
  54. García-Cicco, Javier & Kawamura, Enrique, 2015. "Dealing with the Dutch disease: Fiscal rules and macro-prudential policies," Journal of International Money and Finance, Elsevier, vol. 55(C), pages 205-239.
  55. Roman Horvath & Lorant Kaszab & Ales Marsal, 2022. "Fiscal Policy And the Nominal Term Premium," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 663-683, March.
  56. Chikhale, Nisha, 2023. "The effects of uncertainty shocks: Implications of wealth inequality," European Economic Review, Elsevier, vol. 154(C).
  57. Bertrand Achou & Hippolyte d'Albis & Eleni Iliopulos, 2021. "Real Estate and Rental Markets during Covid Times," Documents de recherche 21-02, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  58. Ilek, Alex & Rozenshtrom, Irit, 2018. "The term premium in a small open economy: A micro-founded approach," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 333-352.
  59. Robert Kollmann, 2013. "Tractable latent state filtering for non-linear DSGE models using a second-order Approximation," CAMA Working Papers 2013-29, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  60. OH, Joonseok; ROGANTINI PICCO, Anna, 2019. "Macro uncertainty and unemployment risk," Economics Working Papers ECO 2019/02, European University Institute.
  61. Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2017. "Level and Volatility Shocks to Fiscal Policy: Term Structure Implications," 2017 Meeting Papers 258, Society for Economic Dynamics.
  62. Mumtaz, Haroon & Theodoridis, Konstantinos, 2017. "Common and country specific economic uncertainty," Journal of International Economics, Elsevier, vol. 105(C), pages 205-216.
  63. Haroon Mumtaz & Konstantinos Theodoridis, 2014. "The Changing Transmission of Uncertainty shocks in the US: An Empirical Analysis," Working Papers 735, Queen Mary University of London, School of Economics and Finance.
  64. Levintal, Oren, 2017. "Fifth-order perturbation solution to DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 1-16.
  65. Kuester, Keith & Jung, Philip & Ignaszak, Marek, 2020. "Federal unemployment reinsurance and local labor-market policies," CEPR Discussion Papers 15465, C.E.P.R. Discussion Papers.
  66. Pablo Guerron-Quintana & Jesus Fernandez-Villaverde & Thorsten Drautzburg, 2017. "Political Distribution Risk and Business Cycles," 2017 Meeting Papers 1201, Society for Economic Dynamics.
  67. Mr. Dominic Quint & Mr. Pau Rabanal, 2017. "Should Unconventional Monetary Policies Become Conventional?," IMF Working Papers 2017/085, International Monetary Fund.
  68. Yasuo Hirose & Takeki Sunakawa, 2019. "Review of Solution and Estimation Methods for Nonlinear Dynamic Stochastic General Equilibrium Models with the Zero Lower Bound," The Japanese Economic Review, Springer, vol. 70(1), pages 51-104, March.
  69. Martin M. Andreasen & Anders Kronborg, 2017. "The Extended Perturbation Method: New Insights on the New Keynesian Model," CREATES Research Papers 2017-14, Department of Economics and Business Economics, Aarhus University.
  70. repec:zbw:bofrdp:2021_013 is not listed on IDEAS
  71. Michael Patrick Curran & Adnan Velic, 2017. "Interest Rate Volatility And Macroeconomic Dynamics: A Cross-Country Analysis," Villanova School of Business Department of Economics and Statistics Working Paper Series 35, Villanova School of Business Department of Economics and Statistics.
  72. Mutschler, Willi, 2018. "Higher-order statistics for DSGE models," Econometrics and Statistics, Elsevier, vol. 6(C), pages 44-56.
  73. Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
  74. Carrillo, Julio A. & Peersman, Gert & Wauters, Joris, 2022. "Endogenous wage indexation and aggregate shocks," Journal of Macroeconomics, Elsevier, vol. 72(C).
  75. Ales Marsal & Katrin Rabitsch & Lorant Kaszab, 2019. "Trend Inflation Meets Macro-Finance: The Puzzling Behavior of Price Dispersion," Working and Discussion Papers WP 6/2019, Research Department, National Bank of Slovakia.
  76. OH, Joonseok, 2019. "The propagation of uncertainty shocks : Rotemberg vs. Calvo," Economics Working Papers ECO 2019/01, European University Institute.
  77. Martin M. Andreasen, 2021. "The New Keynesian Model and Bond Yields," CREATES Research Papers 2021-01, Department of Economics and Business Economics, Aarhus University.
  78. Higgins, C. Richard, 2017. "Estimating general equilibrium models with stochastic volatility and changing parameters," Economic Modelling, Elsevier, vol. 66(C), pages 163-170.
  79. repec:zbw:bofrdp:2022_005 is not listed on IDEAS
  80. Nils M. Gornemann & Keith Kuester & Makoto Nakajima, 2021. "Doves for the Rich, Hawks for the Poor? Distributional Consequences of Systematic Monetary Policy," Opportunity and Inclusive Growth Institute Working Papers 50, Federal Reserve Bank of Minneapolis.
  81. García-Cicco, Javier & Kawamura, Enrique, 2015. "Dealing with the Dutch disease: Fiscal rules and macro-prudential policies," Journal of International Money and Finance, Elsevier, vol. 55(C), pages 205-239.
  82. Aidi Tang, 2023. "Financial Integration and International Dynamics: The Role of Volatility Shocks," Mathematics, MDPI, vol. 11(23), pages 1-27, November.
  83. Castelnuovo, Efrem & Pellegrino, Giovanni, 2018. "Uncertainty-dependent effects of monetary policy shocks: A new-Keynesian interpretation," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 277-296.
  84. Corsetti, Giancarlo & Lipinska, Anna & Lombardo, Giovanni, 2021. "Sharing Asymmetric Tail Risk: Smoothing, Asset Pricing and Terms of Trade," CEPR Discussion Papers 16443, C.E.P.R. Discussion Papers.
  85. Ales Marsal & Katrin Rabitsch & Lorant Kaszab, 2023. "From Linear to Nonlinear: Rethinking Inflation Dynamics in the Calvo Pricing Mechanism," Department of Economics Working Papers wuwp350, Vienna University of Economics and Business, Department of Economics.
  86. Ran, Gao & Zixiang, Zhu & Jianhao, Lin, 2022. "Consumption–investment comovement and the dynamic impact of monetary policy uncertainty in China," Economic Modelling, Elsevier, vol. 113(C).
  87. Zhongjun Qu & Fan Zhuo, 2021. "Likelihood Ratio-Based Tests for Markov Regime Switching," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(2), pages 937-968.
  88. Lepetyuk, Vadym & Maliar, Lilia & Maliar, Serguei, 2020. "When the U.S. catches a cold, Canada sneezes: A lower-bound tale told by deep learning," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
  89. Viktors Ajevskis, 2019. "Generalised Impulse Response Function as a Perturbation of a Global Solution to DSGE Models," Working Papers 2019/04, Latvijas Banka.
  90. Ambrocio, Gene, 2020. "Inflationary household uncertainty shocks," Research Discussion Papers 5/2020, Bank of Finland.
  91. Mumtaz, Haroon & Theodoridis, Konstantinos, 2020. "Dynamic effects of monetary policy shocks on macroeconomic volatility," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 262-282.
  92. Adjemian, Stéphane & Juillard, Michel & Karamé, Fréderic & Mutschler, Willi & Pfeifer, Johannes & Ratto, Marco & Rion, Normann & Villemot, Sébastien, 2024. "Dynare: Reference Manual, Version 6," Dynare Working Papers 80, CEPREMAP.
  93. Munechika Katayama & Kwang Hwan Kim, 2018. "Uncertainty Shocks and the Relative Price of Investment Goods," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 30, pages 163-178, October.
  94. Iwasaki, Yuto & Muto, Ichiro & Shintani, Mototsugu, 2021. "Missing wage inflation? Estimating the natural rate of unemployment in a nonlinear DSGE model," European Economic Review, Elsevier, vol. 132(C).
  95. Ambrocio, Gene, 2020. "Inflationary household uncertainty shocks," Bank of Finland Research Discussion Papers 5/2020, Bank of Finland.
  96. Robert Kollmann, 2015. "Exchange Rate and Current Account Dynamics: the Role of Asset Market Structure, Long-Run Risk and Risk Appetite," 2015 Meeting Papers 1397, Society for Economic Dynamics.
  97. Ivan Sutoris, 2018. "Asset Prices in a Production Economy with Long Run and Idiosyncratic Risk," CERGE-EI Working Papers wp620, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  98. Pan, Xiongfeng & Xu, Haitao & Li, Mengna & Zong, Tianjiao & Lee, Chew Tin & Lu, Yuduo, 2020. "Environmental expenditure spillovers: Evidence from an estimated multi-area DSGE model," Energy Economics, Elsevier, vol. 86(C).
  99. Giancarlo Corsetti & Anna Lipinska & Giovanni Lombardo, 2021. "Sharing Asymmetric Tail Risk: Smoothing, Asset Prices and Terms of Trade," International Finance Discussion Papers 1324, Board of Governors of the Federal Reserve System (U.S.).
  100. Ayşe Kabukçuoğlu & Enrique Martínez-García, 2021. "A Generalized Time Iteration Method for Solving Dynamic Optimization Problems with Occasionally Binding Constraints," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 435-460, August.
  101. Silgado-Gómez, Edgar, 2022. "Sovereign Uncertainty," Research Technical Papers 10/RT/22, Central Bank of Ireland.
  102. Jaccard, Ivan, 2021. "Leveraged property cycles," Working Paper Series 2539, European Central Bank.
  103. Seoane, Hernán D., 2015. "Near unit root small open economies," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 37-46.
  104. Matteo Cacciatore & Federico Ravenna, 2021. "Uncertainty, Wages and the Business Cycle," The Economic Journal, Royal Economic Society, vol. 131(639), pages 2797-2823.
  105. Jaccard, Ivan, 2024. "Monetary asymmetries without (and with) price stickiness," Working Paper Series 2928, European Central Bank.
  106. Benjamin Born & Johannes Pfeifer, 2014. "Risk Matters: A Comment," CESifo Working Paper Series 4793, CESifo.
  107. Jonathan Swarbrick, 2021. "Occasionally Binding Constraints in Large Models: A Review of Solution Methods," Discussion Papers 2021-5, Bank of Canada.
  108. Robert Kollmann, 2016. "Risk Sharing, the Exchange Rate and Net Foreign Assets in a World Economy with Uncertainty Shocks," 2016 Meeting Papers 721, Society for Economic Dynamics.
  109. Xu, Qinhua & Fu, Buben & Wang, Bin, 2022. "The effects of oil price uncertainty on China’s economy," Energy Economics, Elsevier, vol. 107(C).
  110. Michael Donadelli & Patrick Grüning & Steffen Hitzemann, 2019. "Understanding Macro and Asset Price Dynamics During the Climate Transition," Bank of Lithuania Discussion Paper Series 18, Bank of Lithuania.
  111. Richard Higgins, C., 2020. "Financial frictions and changing macroeconomic volatility," Journal of Macroeconomics, Elsevier, vol. 64(C).
  112. repec:zbw:bofrdp:2020_005 is not listed on IDEAS
  113. Pratiti Chatterjee & David Gunawan & Robert Kohn, 2020. "The Interaction Between Credit Constraints and Uncertainty Shocks," Papers 2004.14719, arXiv.org.
  114. Balke, Nathan S. & Martínez-García, Enrique & Zeng, Zheng, 2021. "In no uncertain terms: The effect of uncertainty on credit frictions and monetary policy," Economic Modelling, Elsevier, vol. 100(C).
  115. Martin M. Andreasen & Anders F. Kronborg, 2022. "The extended perturbation method: With applications to the New Keynesian model and the zero lower bound," Quantitative Economics, Econometric Society, vol. 13(3), pages 1171-1202, July.
  116. Oliver de Groot & C. Bora Durdu & Enrique G. Mendoza, 2019. "Global v. Local Methods in the Analysis of Open-Economy Models with Incomplete Markets," Working Papers 201916, University of Liverpool, Department of Economics.
  117. Alexis Derviz, 2023. "Foreign Exchange Implications of CBDCs and Their Integration via Bridge Coins," Working Papers 2023/7, Czech National Bank.
  118. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
  119. Cho, Deaha & Han, Yoonshin & Oh, Joonseok & Rogantini Picco, Anna, 2020. "Optimal Monetary Policy and Uncertainty Shocks," Dynare Working Papers 61, CEPREMAP.
  120. Bluwstein, Kristina & Yung, Julieta, 2019. "Back to the real economy: the effects of risk perception shocks on the term premium and bank lending," Bank of England working papers 806, Bank of England.
  121. Martin M. Andreasen, 2019. "Explaining Bond Return Predictability in an Estimated New Keynesian Model," CREATES Research Papers 2019-11, Department of Economics and Business Economics, Aarhus University.
  122. Julio Blanco & Gaston Navarro, 2016. "The Unemployment Accelerator," CESifo Working Paper Series 6248, CESifo.
  123. Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why Does Risk Matter More in Recessions than in Expansions?," "Marco Fanno" Working Papers 0275, Dipartimento di Scienze Economiche "Marco Fanno".
  124. Cesa-Bianchi, Ambrogio & Fernandez-Corugedo, Emilio, 2014. "Uncertainty in a model with credit frictions," Bank of England working papers 496, Bank of England.
  125. Xiao-Li Gong & Jin-Yan Lu & Xiong Xiong & Wei Zhang, 2022. "Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-22, December.
  126. Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.
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