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Essays on uncertainty and business cycles
Essays on uncertainty and business cycles
The present work contributes to the literature on uncertainty by using empirical methods to measure uncertainty and volatility, and empirical and theoretical methods to analyze two transmission channels through which uncertainty is linked to the business cycle. The first chapter looks into the problem of measuring inflation uncertainty and proposes to use common information contained in a variety of different uncertainty proxies. In the second chapter, we develop measures of firm-specific volatility and quantify the effect of heightened volatility on the price setting behavior of firms and analyze whether this link changes the effectiveness of monetary policy. The third chapter compares the effects of heightened idiosyncratic uncertainty on credit spreads in bank-based and market-based financial systems.
Uncertainty, Price Setting, Financial Frictions, Survey Data, New Keynesian DSGE Model
Grimme, Christian
2015
English
Universitätsbibliothek der Ludwig-Maximilians-Universität München
Grimme, Christian (2015): Essays on uncertainty and business cycles. Dissertation, LMU München: Faculty of Economics
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Abstract

The present work contributes to the literature on uncertainty by using empirical methods to measure uncertainty and volatility, and empirical and theoretical methods to analyze two transmission channels through which uncertainty is linked to the business cycle. The first chapter looks into the problem of measuring inflation uncertainty and proposes to use common information contained in a variety of different uncertainty proxies. In the second chapter, we develop measures of firm-specific volatility and quantify the effect of heightened volatility on the price setting behavior of firms and analyze whether this link changes the effectiveness of monetary policy. The third chapter compares the effects of heightened idiosyncratic uncertainty on credit spreads in bank-based and market-based financial systems.