Caggiano, Giovanni; Castelnuovo, Efrem; Groshenny, Nicolas - Dipartimento di Scienze Economiche "Marco Fanno", … - 2013
We investigate the effects of uncertainty shocks on unemployment dynamics in the post-WWII U.S. recessions via non-linear (Smooth-Transition) VARs. The relevance of uncertainty shocks is found to be much larger than that predicted by standard linear VARs in terms of i) magnitude of the reaction...