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The quantification of structural reforms : extending the framework to emerging market economies

Égert, Balázs - 2018

. More competition-friendly regulations, as measured by the OECDs' Product Market Regulation (PMR) indicator improve economic … businesses boost the capital stock and the employment rate. No robust link between labour market regulation and MFP and capital … deepening could be established. But looser labour market regulation is found to go hand in hand with higher employment rates …

Persistent link: https://www.econbiz.de/10011800715

Regulation, institutions and aggregate investment : new evidence from OECD countries

Égert, Balázs - 2017

and labour market regulation on the capital stock. Several alternative testing methods show that the negative influence of … product and labour market regulation is considerably stronger at higher levels. The paper uncovers important policy …

Persistent link: https://www.econbiz.de/10011638226

Investment in OECD countries : a primer

Égert, Balázs - 2021

Aggregate business investment is a major driver of long-term economic growth. It has been weak in many advanced economies over the last decade, partly due to cyclical demand-side effects. Nevertheless, a number of structural factors and policies interact with and have an effect on business...

Persistent link: https://www.econbiz.de/10012543533

Uncertainty and monetary policy during the great recession

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 real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this evidence with an estimated DSGE framework featuring a concept...

Persistent link: https://www.econbiz.de/10012495676

Financial uncertainty and real activity : the good, the bad, and the ugly

Caggiano, Giovanni; Castelnuovo, Efrem; Delrio, Silvia; … - 2020

This paper quantifies the finance uncertainty multiplier (i.e., the magnifying effect of the real impact of uncertainty shocks due to financial frictions) by relying on two historical events related to the US economy, i.e., the large jump in financial uncertainty occurred in October 1987 (which...

Persistent link: https://www.econbiz.de/10012245103

Liquidity traps and large-scale financial crises

Caggiano, Giovanni; Castelnuovo, Efrem; Damette, Olivier; … - 2018

This paper estimates a nonlinear Threshold-VAR to investigate if a Keynesian liquidity trap due to a speculative motive was in place in the U.S. Great Depression and the recent Great Recession. We find clear evidence in favor of a breakdown of the liquidity effect after an unexpected increase in...

Persistent link: https://www.econbiz.de/10011863616

The global effects of Covid-19-induced uncertainty

Caggiano, Giovanni; Castelnuovo, Efrem; Kima, Richard - 2020

We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world industrial production to simulate the effects of the jump in financial uncertainty observed in correspondence of the Covid-19 outbreak. We predict the cumulative loss in world...

Persistent link: https://www.econbiz.de/10012213164

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

Global uncertainty

Caggiano, Giovanni; Castelnuovo, Efrem - 2021

We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-specific factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set-identification via a combination of...

Persistent link: https://www.econbiz.de/10012431805

The VARying effect of foreign shocks in Central and Eastern Europe

Jiménez-Rodríguez, Rebeca; Morales Zumaquero, Amalia; … - 2010

This paper investigates the impact of international shocks - interest rate, commodity price and industrial production shocks - on key macroeconomic variables in ten Central and Eastern European (CEE) countries by using near-VAR models and monthly data from the early 1990s to 2009. In contrast to...

Persistent link: https://www.econbiz.de/10003974654