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Uncertainty, Financial Frictions and Nominal Rigidities: A Quantitative Investigation
By:Ambrogio Cesa-Bianchi,Emilio Fernández Corugedo
Published on 2017-09-29 by International Monetary Fund

Are uncertainty shocks a major source of business cycle fluctuations? This paper studies the effect of a mean preserving shock to the variance of aggregate total factor productivity (macro uncertainty) and to the dispersion of entrepreneurs' idiosyncratic productivity (micro uncertainty) in a financial accelerator DSGE model with sticky prices. It explores the different mechanisms through which uncertainty shocks are propagated and amplified. The time series properties of macro and micro uncertainty are estimated using U.S. aggregate and firm-level data, respectively. While surprise increases in micro uncertainty have a larger impact on output than macro uncertainty, these account for a small (non-trivial) share of output volatility.

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Book ID of Uncertainty, Financial Frictions and Nominal Rigidities: A Quantitative Investigation's Books is WLlADwAAQBAJ, Book which was written byAmbrogio Cesa-Bianchi,Emilio Fernández Corugedohave ETAG "Dz8OZ0UpuYw"

Book which was published by International Monetary Fund since 2017-09-29 have ISBNs, ISBN 13 Code is 9781484324059 and ISBN 10 Code is 1484324056

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