TY  - BOOK
AU  - Creal,Drew D.
AU  - Wu,Jing Cynthia
ED  - National Bureau of Economic Research.
TI  - Monetary Policy Uncertainty and Economic Fluctuations
T2  - NBER working paper series
PY  - 2014///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - October 2014; Hardcopy version available to institutional subscribers
N2  - We investigate the relationship between uncertainty about monetary policy and its transmission mechanism, and economic fluctuations. We propose a new term structure model where the second moments of macroeconomic variables and yields can have a first-order effect on their dynamics. The data favors a model with two unspanned volatility factors that capture uncertainty about monetary policy and the term premium. Uncertainty contributes negatively to economic activity. Two dimensions of uncertainty react in opposite directions to a shock to the real economy, and the response of inflation to uncertainty shocks vary across different historical episodes
UR  - https://www.nber.org/papers/w20594
UR  - http://dx.doi.org/10.3386/w20594
ER  -