| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15579 |
| DP15579 Uncertainty shocks in currency unions | |
| Benjamin Born; Gernot Müller; Johannes Pfeifer | |
| 发表日期 | 2020-12-20 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Uncertainty shocks cause economic activity to contract and more so, if monetary policy is constrained by an effective lower bound on interest rates. In this paper, we investigate whether countries within currency unions are also particularly prone to suffer from the adverse effects of heightened uncertainty because they lack monetary independence. First, we estimate a Bayesian VAR on quarterly time series for Spain. We find that country-specific uncertainty shocks impact economic activity adversely. Second, we calibrate a DSGE model of a small open economy and show that it is able to account for the evidence. Finally, we show that currency-union membership strongly reduces the effects of uncertainty shocks because it anchors long-run expectations of the price level and thus alleviates precautionary price setting in the face of increased uncertainty. |
| 主题 | International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Uncertainty shocks Exchange rate regime monetary policy Euro area Euro crisis |
| URL | https://cepr.org/publications/dp15579 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544587 |
| 推荐引用方式 GB/T 7714 | Benjamin Born,Gernot Müller,Johannes Pfeifer. DP15579 Uncertainty shocks in currency unions. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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