Monetary policy uncertainty and firm dynamics

被引:13
|
作者
Fasani, Stefano [1 ]
Mumtaz, Haroon [2 ]
Rossi, Lorenza [1 ,3 ]
机构
[1] Univ Lancaster, Lancaster, England
[2] Queen Mary Univ, London, England
[3] Univ Pavia, Pavia, Italy
关键词
Monetary policy uncertainty; Firm dynamics; FAVAR; DSGE; BUSINESS CYCLES; CREDIT SPREADS; TAX CHANGES; SHOCKS; IMPACT; RISK; VOLATILITY; ENTRY; DISPERSION; FRICTIONS;
D O I
10.1016/j.red.2022.02.002
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper uses a FAVAR model with external instruments to show that monetary policy uncertainty shocks are recessionary and are associated with an increase in firms' exit and a decrease in firms' entry. At the same time, the stock price declines, while the TFP increases in the medium run. To explain this result, we build up and estimate a medium-scale DSGE model featuring firm heterogeneity and endogenous firm entry and exit. These features are crucial in matching the empirical responses. The baseline model outperforms an alternative model without firm dynamics in reproducing the FAVAR responses and implies a larger effect of monetary policy uncertainty shock on the real economic activity.(c) 2022 Elsevier Inc. All rights reserved.
引用
收藏
页码:278 / 296
页数:19
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