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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 … of the liquidity effect after an unexpected increase in M2 in the 1921-1940 period. This evidence, which is consistent … with the Keynesian view on a liquidity trap, is shown to be state contingent. In particular, it emerges only when a …

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

Are fiscal multipliers estimated with proxy-SVARs robust?

Angelini, Giovanni; Caggiano, Giovanni; Castelnuovo, Efrem - 2020

How large are government spending and tax multipliers? The fiscal proxy-SVAR literature provides heterogenous estimates, depending on which proxies - fiscal or non-fiscal - are used to identify fiscal shocks. We reconcile the existing estimates via a flexible vector autoregressive model that...

Persistent link: https://www.econbiz.de/10012249273

Risk management-driven policy rate gap

Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela - 2018

We employ real-time data available to the US monetary policy makers to estimate a Taylor rule augmented with a measure of financial uncertainty over the period 1969-2008. We find evidence in favor of a systematic response to financial uncertainty over and above that to expected inflation, output...

Persistent link: https://www.econbiz.de/10011884396

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

Uncertainty and monetary policy during extreme events

Pellegrino, Giovanni; Castelnuovo, Efrem; Caggiano, Giovanni - 2020

How damaging are uncertainty shocks during extreme events such as the great recession and the Covid-19 outbreak? Can monetary policy limit output losses in such situations? We use a nonlinear VAR framework to document the large response of real activity to a financial uncertainty shock during...

Persistent link: https://www.econbiz.de/10012288020

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

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