Konstantinos Theodoridis from Cardiff will be presenting the paper titled ‘Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility’ as part of the Essex Centre for Macro and Financial Econometrics seminar series.
We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and matching labour frictions and Epstein-Zin preferences we show that these volatility effects are driven by the coexistence of agents’ fears of unemployment and concerns about the (in) ability of the monetary authority to reverse deviations from the policy rule with the impact magnified by the agents’ preferences.
This is an open event; there is no need to book. Please feel free to attend and bring your colleagues, classmates and friends.
Konstantinos Theodoridis is Professor of Macroeconomics at the Cardiff Business School. His research focuses on the linkages between financial markets and the real economy, international economics and modelling techniques. Before joining Cardiff, Konstantinos held numerous positions at the Bank of England, most recently as Head of the Model Development Team in the Monetary Analysis Area.