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Online Appendix to "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"

Citations

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Cited by:

  1. Yusuf Soner Başkaya & Timur Hülagü & Hande Küçük, 2013. "Oil Price Uncertainty in a Small Open Economy," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 61(1), pages 168-198, April.
  2. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2021. "Uncertainty shocks and the great recession: Nonlinearities matter," Economics Letters, Elsevier, vol. 198(C).
  3. Hakon Tretvoll, 2018. "Real Exchange Variability in a Two-Country Business Cycle Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 27, pages 123-145, January.
  4. Rendahl, Pontus & Freund, Lukas B., 2020. "Unexpected Effects: Uncertainty, Unemployment, and Inflation," CEPR Discussion Papers 14690, C.E.P.R. Discussion Papers.
  5. Fabio Canova & Filippo Ferroni & Christian Matthes, 2015. "Approximating Time Varying Structural Models With Time Invariant Structures," Working Paper 15-10, Federal Reserve Bank of Richmond.
  6. 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.
  7. Chu, Shiou-Yen, 2015. "Funding liquidity constraints and the forward premium anomaly in a DSGE model," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 76-89.
  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. Grzegorz Długoszek, 2018. "Macroeconomic Effects of Financial Uncertainty," 2018 Meeting Papers 1128, Society for Economic Dynamics.
  10. Martin Ellison & Andreas Tischbirek, 2021. "Beauty Contests and the Term Structure [Risk Premia and Term Premia in General Equilibrium]," Journal of the European Economic Association, European Economic Association, vol. 19(4), pages 2234-2282.
  11. Parra-Alvarez, Juan Carlos & Polattimur, Hamza & Posch, Olaf, 2021. "Risk matters: Breaking certainty equivalence in linear approximations," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  12. Sherwin Lott, 2018. "Perturbations in DSGE Models: Odd Derivatives Theorem," PIER Working Paper Archive 18-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 21 May 2018.
  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. Amisano, Gianni & Tristani, Oreste, 2019. "Uncertainty shocks, monetary policy and long-term interest rates," Working Paper Series 2279, European Central Bank.
  15. Heiberger, Christopher & Maußner, Alfred, 2020. "Perturbation solution and welfare costs of business cycles in DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  16. Britta Förster & Bernd Hayo, 2018. "Monetary and Fiscal Policy in Times of Crisis: A New Keynesian Perspective in Continuous Time," Manchester School, University of Manchester, vol. 86(1), pages 21-48, January.
  17. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
  18. Ruge-Murcia, Francisco, 2020. "Estimating nonlinear dynamic equilibrium models by matching impulse responses," Economics Letters, Elsevier, vol. 197(C).
  19. Martin Kliem & Alexander Meyer‐Gohde, 2022. "(Un)expected monetary policy shocks and term premia," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 477-499, April.
  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. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020. "Uncertainty and Monetary Policy during Extreme Events," CESifo Working Paper Series 8561, CESifo.
  22. Iania, Leonardo & Tretiakov, Pavel & Wouters, Rafael, 2023. "The risk premium in New Keynesian DSGE models: The cost of inflation channel," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).
  23. Vasilev, Aleksandar, 2021. "An RBC model with Epstein-Zin (non-expected-utility) recursive preferences: lessons from Bulgaria (1999-2018)," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue forthcomi.
  24. Eric T. Swanson, 2020. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(2), pages 194-240, April.
  25. Juan Carlos Parra-Alvarez & Hamza Polattimur & Olaf Posch, 2020. "Risk Matters: Breaking Certainty Equivalence," CREATES Research Papers 2020-02, Department of Economics and Business Economics, Aarhus University.
  26. 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.
  27. Ruge-Murcia, Francisco, 2024. "Asset prices in a production network," European Economic Review, Elsevier, vol. 166(C).
  28. Andreasen, Martin M. & Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2024. "Does risk matter more in recessions than in expansions? Implications for monetary policy," Journal of Monetary Economics, Elsevier, vol. 143(C).
  29. 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.
  30. Lan, Hong & Meyer-Gohde, Alexander, 2013. "Decomposing risk in dynamic stochastic general equilibrium," SFB 649 Discussion Papers 2013-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  31. Francisco RUGE-MURCIA, 2018. "Asset Prices in a Small Production Network," Cahiers de recherche 02-2018, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  32. Isoré, Marlène & Szczerbowicz, Urszula, 2017. "Disaster risk and preference shifts in a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 97-125.
  33. Lan, Hong & Meyer-Gohde, Alexander, 2013. "Pruning in perturbation DSGE models: Guidance from nonlinear moving average approximations," SFB 649 Discussion Papers 2013-024, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  34. Alessandro Cantelmo, 2022. "Rare Disasters, the Natural Interest Rate and Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 473-496, June.
  35. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 52(3), pages 323-335, September.
  36. 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.
  37. 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.
  38. Lott, Sherwin, 2019. "Perturbations in DSGE models: An odd derivatives theorem," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
  39. Levintal, Oren, 2017. "Fifth-order perturbation solution to DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 1-16.
  40. Sinha, Arunima, 2016. "Monetary policy uncertainty and investor expectations," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 188-199.
  41. repec:zbw:bofrdp:2021_013 is not listed on IDEAS
  42. Çekin, Semih Emre & Ivashchenko, Sergey & Gupta, Rangan & Lee, Chien-Chiang, 2024. "Real-time forecast of DSGE models with time-varying volatility in GARCH form," International Review of Financial Analysis, Elsevier, vol. 93(C).
  43. Mutschler, Willi, 2018. "Higher-order statistics for DSGE models," Econometrics and Statistics, Elsevier, vol. 6(C), pages 44-56.
  44. Lan, Hong & Meyer-Gohde, Alexander, 2012. "Existence and Uniqueness of Perturbation Solutions in DSGE Models," Dynare Working Papers 14, CEPREMAP.
  45. Burkhard Heer & Alfred Maussner & Bernd Suessmuth, 2018. "Cyclical Asset Returns in the Consumption and Investment Goods Sector," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 28, pages 51-70, April.
  46. Anthony M. Diercks & Alex Hsu & Andrea Tamoni, 2020. "When it Rains it Pours: Cascading Uncertainty Shocks," Finance and Economics Discussion Series 2020-064, Board of Governors of the Federal Reserve System (U.S.).
  47. 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.
  48. Gleb Kurovskiy, 2017. "Modelling terms of trade volatility impact on output dynamics in Russia," EcoMod2017 10361, EcoMod.
  49. Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2019. "Response of the Macroeconomy to Uncertainty Shocks:the Risk Premium Channel," 2019 Meeting Papers 1567, Society for Economic Dynamics.
  50. de Groot, Oliver, 2015. "Solving asset pricing models with stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 308-321.
  51. Josué Diwambuena & Jean-Paul K. Tsasa, 2021. "The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models," BEMPS - Bozen Economics & Management Paper Series BEMPS87, Faculty of Economics and Management at the Free University of Bozen.
  52. Martin M Andreasen & Jesús Fernández-Villaverde & Juan F Rubio-Ramírez, 2018. "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(1), pages 1-49.
  53. Eric Swanson, 2018. "Risk Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 28, pages 290-321, April.
  54. Burkhard Heer & Alfred Maußner, 2013. "Asset Returns, the Business Cycle and the Labor Market," German Economic Review, Verein für Socialpolitik, vol. 14(3), pages 372-397, August.
  55. Lan, Hong & Meyer-Gohde, Alexander, 2013. "Solving DSGE models with a nonlinear moving average," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2643-2667.
  56. repec:hum:wpaper:sfb649dp2013-024 is not listed on IDEAS
  57. repec:zbw:bofrdp:2018_004 is not listed on IDEAS
  58. Bretscher, Lorenzo & Hsu, Alex & Tamoni, Andrea, 2020. "Fiscal policy driven bond risk premia," Journal of Financial Economics, Elsevier, vol. 138(1), pages 53-73.
  59. Yao, Haixiang & Zhang, Weixuan & Wu, Zhouheng, 2024. "Monetary policy rule under rare events: With implications by digital finance development," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
  60. Andreasen Martin M. & Zabczyk Pawel, 2015. "Efficient bond price approximations in non-linear equilibrium-based term structure models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 1-33, February.
  61. Lan, Hong & Meyer-Gohde, Alexander, 2014. "Solvability of perturbation solutions in DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 366-388.
  62. Sanha Noh, 2020. "Posterior Inference on Parameters in a Nonlinear DSGE Model via Gaussian-Based Filters," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 795-841, December.
  63. Zhang, Xiaoyu & Zhou, Jinlan & Du, Xiaodong, 2022. "Impact of oil price uncertainty shocks on China’s macro-economy," Resources Policy, Elsevier, vol. 79(C).
  64. 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.
  65. 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.
  66. Andrew Binning, 2013. "Third-order approximation of dynamic models without the use of tensors," Working Paper 2013/13, Norges Bank.
  67. 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.
  68. 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.
  69. Francisco RUGE-MURCIA, 2014. "Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk," Cahiers de recherche 15-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  70. Andrew Binning, 2013. "Solving second and third-order approximations to DSGE models: A recursive Sylvester equation solution," Working Paper 2013/18, Norges Bank.
  71. repec:hum:wpaper:sfb649dp2013-022 is not listed on IDEAS
  72. Nicolas Caramp & Dejanir H. Silva, 2021. "Monetary Policy and Wealth Effects: The Role of Risk and Heterogeneity," Working Papers 341, University of California, Davis, Department of Economics.
  73. 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".
  74. Lance Kent & Toan Phan, 2019. "Time-Varying Skewness and Real Business Cycles," Economic Quarterly, Federal Reserve Bank of Richmond, issue 2Q, pages 59-103.
  75. Vasilev, Aleksandar, 2018. "An RBC model with Epstein-Zin (non-expected-utility) recursive preferences: lessons from Bulgaria (1999-2016)," EconStor Preprints 182577, ZBW - Leibniz Information Centre for Economics.
  76. 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.
  77. 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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