Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela - Dipartimento di Scienze Economiche "Marco Fanno", … - 2014
We employ a nonlinear VAR to document the asymmetric reaction of real economic activity to uncertainty shocks. An … and a long-term interest rate. Our results call for microfounded models admitting nonlinear effects of uncertainty shocks. …