Similar Search Results

Drometer, Marcus; Siemsen, Thomas; Watzka, Sebastian - 2013

We derive four sets of counterfactual national interest rate paths for the 17 Euro Area countries for the time period 1999 to 2012. They approximate desirable national interest rates countries would have liked to implement if they could still conduct independent monetary policy. We find that...

Persistent link: https://www.econbiz.de/10009724004

Smells like fiscal policy? : assessing the potential effectiveness of the ECB's OMT program

Hristov, Nikolay; Hülsewig, Oliver; Siemsen, Thomas; … - 2014

an appropriate monetary policy transmission. Since the program aims at manipulating bank lending rates by conducting … sovereign bond purchases on secondary markets, a stable relationship between bank lending rates and government bond rates is of … this relationship by focusing on the reaction of bank lending rates to movements in government bond rates over the period …

Persistent link: https://www.econbiz.de/10010246072

Smells like fiscal policy? : assessing the potential effectiveness of the ECB's OMT program ; conference paper

Hristov, Nikolay; Hülsewig, Oliver; Siemsen, Thomas; … - 2014

safeguarding an appropriate monetary policy transmission. Since the program aims at manipulating bank lending rates by conducting … sovereign bond purchases on secondary markets, a stable relationship between bank lending rates and government bond rates is of … this relationship by focusing on the reaction of bank lending rates to movements in government bond rates over the period …

Persistent link: https://www.econbiz.de/10010480578

Economic policy uncertainty spillovers in booms and busts

Caggiano, Giovanni; Castelnuovo, Efrem; Figueres, Juan … - 2018

We estimate a nonlinear VAR to quantify the impact of economic policy uncertainty shocks originating in the US on the Canadian unemployment rate in booms and busts. We find strong evidence in favor of asymmetric spillover effects. Unemployment in Canada is shown to react to uncertainty shocks in...

Persistent link: https://www.econbiz.de/10011862894

Uncertainty and monetary policy in good and bad times : a replication of the VAR investigation by Bloom (2009)

Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela - 2020

This paper revisits the well-known VAR evidence on the real effects of uncertainty shocks by Bloom (Econometrica 2009(3): 623-685. doi: 10.3982/ECTA6248). We replicate the results in a narrow sense using Eviews. In a wide sense, we extend his study by working with a smooth transition-VAR...

Persistent link: https://www.econbiz.de/10012263375

Estimating the real effects of uncertainty shocks at the Zero Lower Bound

Caggiano, Giovanni; Castelnuovo, Efrem; Pellegrino, Giovanni - 2017

We employ a parsimonious nonlinear Interacted-VAR to examine whether the real effects of uncertainty shocks are greater when the economy is at the ZeroLower Bound. We find the contractionary effects of uncertainty shocks to be statistically larger when the ZLB is binding, with differences that...

Persistent link: https://www.econbiz.de/10011718014

Uncertainty and monetary policy in good and bad times

Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela - 2017

We investigate the role played by systematic monetary policy in tackling the real effects of uncertainty shocks in U.S. recessions and expansions. We model key indicators of the business cycle with a nonlinear VAR that allows for different dynamics in busts and booms. Uncertainty shocks are...

Persistent link: https://www.econbiz.de/10011718461

Uncertainty across volatility regimes

Angelini, Giovanni; Bacchiocchi, Emanuele; Caggiano, … - 2017

We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in the empirical literature on uncertainty: (i) Does...

Persistent link: https://www.econbiz.de/10011778668