This paper quantifies the finance uncertainty multiplier (i.e., the magnifying effect of the real impact of uncertainty … stress). Working with a VAR framework and a set-identification strategy which focuses on - but it is not limited to … - restrictions related to these two dates, we estimate the finance uncertainty multiplier to be equal to 2, i.e., credit supply …

This paper revisits the well-known VAR evidence on the real effects of uncertainty shocks by Bloom (Econometrica 2009 … study by working with a smooth transition-VAR framework that allows for business cycle-dependent macroeconomic responses to …

We employ a parsimonious nonlinear Interacted-VAR to examine whether the real effects of uncertainty shocks are greater …

.S. recessions and expansions. We model key indicators of the business cycle with a nonlinear VAR that allows for different dynamics … financial volatility. Uncertainty shocks hitting in recessions are found to trigger a more abrupt drop and a faster recovery in …

We estimate a nonlinear VAR to quantify the impact of economic policy uncertainty shocks originating in the US on the …