Pellegrino, Giovanni; Castelnuovo, Efrem; Caggiano, Giovanni - 2021
We employ a nonlinear VAR framework and a state-of-the-art identification strategy to document the large response of … evidence with an estimated DSGE framework featuring a concept of uncertainty comparable to that in our VAR. We then use the … estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We find such a …