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The Resource Uncertainty and the macroeconomy, Dario Bonciani

Uncertainty and the macroeconomy, Dario Bonciani

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Contributor
Summary
In this thesis, I study from various angles how uncertainty affects macroeconomic activity. Chapter 1 investigates the effects of uncertainty shocks on economic activity in the euro area by means of a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty shocks on economic activity. This amplification channel stems mainly from the stickiness in bank loan rates. This stickiness reduces the effectiveness in the transmission mechanism of monetary policy. In chapter 2, I provide empirical evidence that uncertainty shocks have strong asymmetric effects on economic activity depending on the phase of the business cycle. In particular, the impulse responses estimated with the local projection method on a smooth-transition model show that in recessions uncertainty shocks strongly dampen economic activity. In an expansion, the effects are reversed, and uncertainty shocks have positive macroeconomic effects. One possible explanation is that during expansions uncertainty fosters investments and economic activity through the "growth options" channel, while in recessions it reduces investments via the "wait-and-see" channel. In chapter 3, I show that shocks to macroeconomic uncertainty negatively affect economic activity both in the short- and in the long-run. In a New Keynesian model with endogenous-growth through investment in R&D, volatility shocks have negative effects in the short-term because of precautionary savings, lower propensity to undertake risky investments and rising markups, and in the long-run because of the fall in R&D investment. The presence of long-run fluctuations in consumption makes agents more risk-averse, which strongly amplifies the effects of uncertainty shocks
Language
eng
Work
Publication
Extent
xv, 105 pages
Note
Examining board: Professor Juan Dolado, EUI, Supervisor; Professor Evi Pappa, EUI; Professor Francesco Furnaletto, Norges Bank; Professor Konstantinos Theodoridis, Cardiff Business School
Link
http://hdl.handle.net/1814/55304
Instance
Label
Uncertainty and the macroeconomy
Title
Uncertainty and the macroeconomy
Statement of responsibility
Dario Bonciani
Creator
Contributor
Subject
Language
eng
Summary
In this thesis, I study from various angles how uncertainty affects macroeconomic activity. Chapter 1 investigates the effects of uncertainty shocks on economic activity in the euro area by means of a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty shocks on economic activity. This amplification channel stems mainly from the stickiness in bank loan rates. This stickiness reduces the effectiveness in the transmission mechanism of monetary policy. In chapter 2, I provide empirical evidence that uncertainty shocks have strong asymmetric effects on economic activity depending on the phase of the business cycle. In particular, the impulse responses estimated with the local projection method on a smooth-transition model show that in recessions uncertainty shocks strongly dampen economic activity. In an expansion, the effects are reversed, and uncertainty shocks have positive macroeconomic effects. One possible explanation is that during expansions uncertainty fosters investments and economic activity through the "growth options" channel, while in recessions it reduces investments via the "wait-and-see" channel. In chapter 3, I show that shocks to macroeconomic uncertainty negatively affect economic activity both in the short- and in the long-run. In a New Keynesian model with endogenous-growth through investment in R&D, volatility shocks have negative effects in the short-term because of precautionary savings, lower propensity to undertake risky investments and rising markups, and in the long-run because of the fall in R&D investment. The presence of long-run fluctuations in consumption makes agents more risk-averse, which strongly amplifies the effects of uncertainty shocks
Cataloging source
FIE
http://library.link/vocab/creatorName
Bonciani, Dario
Date time place
Defence date: 5 June 2018
Dissertation note
Thesis (Ph. D.)--European University Institute (ECO), 2018.
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Nature of contents
theses
http://library.link/vocab/relatedWorkOrContributorName
European University Institute
Series statement
  • EUI PhD theses.
  • EUI theses
http://library.link/vocab/subjectName
  • Uncertainty
  • Macroeconomics
  • Economic stabilization
Label
Uncertainty and the macroeconomy, Dario Bonciani
Link
http://hdl.handle.net/1814/55304
Instantiates
Publication
Note
Examining board: Professor Juan Dolado, EUI, Supervisor; Professor Evi Pappa, EUI; Professor Francesco Furnaletto, Norges Bank; Professor Konstantinos Theodoridis, Cardiff Business School
Bibliography note
Includes bibliographical references (pages 99 -105)
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Dimensions
30 cm.
Extent
xv, 105 pages
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)1043908191
Label
Uncertainty and the macroeconomy, Dario Bonciani
Link
http://hdl.handle.net/1814/55304
Publication
Note
Examining board: Professor Juan Dolado, EUI, Supervisor; Professor Evi Pappa, EUI; Professor Francesco Furnaletto, Norges Bank; Professor Konstantinos Theodoridis, Cardiff Business School
Bibliography note
Includes bibliographical references (pages 99 -105)
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Dimensions
30 cm.
Extent
xv, 105 pages
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)1043908191

Subject

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