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We employ a parsimonious nonlinear Interacted-VAR to examine whether the real effects of uncertainty shocks are greater when the economy is at the Zero Lower 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/10012963804
Persistent link: https://www.econbiz.de/10013165221
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/10012960430
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/10012942173
activity to a financial uncertainty shock during the great recession. We replicate this evidence with an estimated DSGE … real activity of an uncertainty shock under different Taylor rules estimated with normal times vs. great recession data … (the latter associated with a stronger response to output). We find that the uncertainty shock-induced output loss …
Persistent link: https://www.econbiz.de/10012822498
activity to a financial uncertainty shock during the great recession. We replicate this evidence with an estimated DSGE … real activity of an uncertainty shock under different Taylor rules estimated with normal times vs. great recession data … (the latter associated with a stronger response to output). We find that the uncertainty shock-induced output loss …
Persistent link: https://www.econbiz.de/10012824111
an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …
Persistent link: https://www.econbiz.de/10012824829
an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …
Persistent link: https://www.econbiz.de/10012825689
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...
Persistent link: https://www.econbiz.de/10013053918
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/10012927574