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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

Liquidity traps and large-scale finacial crises

Caggiano, Giovanni; Castelnuovo, Efrem; Damette, Olivier; … - 2016

Persistent link: https://www.econbiz.de/10011698812

Are fiscal multipliers estimated with proxy-SVARs robust?

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

Persistent link: https://www.econbiz.de/10012533283

Risk management-driven policy rate gap

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

Persistent link: https://www.econbiz.de/10012202548

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

Squeezing the interest rate smoothing weight with a hybrid expectations model

Castelnuovo, Efrem - 2003

Successful descriptions of short-term nominal interest rates inertial behavior have frequently been obtained with small scale macro models in which a Central Banker minimizes a loss function embedding an argument labelled as interest rate smoothing. The rationale for this argument is not...

Persistent link: https://www.econbiz.de/10011589555

Uncertainty-dependent effects of monetary policy shocks : a new Keynesian interpretation

Castelnuovo, Efrem; Pellegrino, Giovanni - 2017

We estimate a nonlinear VAR model to study the real effects of monetary policy shocks in regimes characterized by high vs. low macroeconomic uncertainty. We find unexpected monetary policy moves to exert a substantially milder impact in presence of high uncertainty. We then exploit the set of...

Persistent link: https://www.econbiz.de/10011781355

Policy rules, regime switches, and trend inflation : an empirical investigation for the U.S.

Castelnuovo, Efrem; Greco, Luciano; Raggi, Davide - 2010

This paper estimates Taylor rules featuring instabilities in policy parameters, switches in policy shocks' volatility, and time-varying trend inflation using post-WWII U.S. data. The model embedding the stochastic target performs better in terms of data-fit and identification of the changes in...

Persistent link: https://www.econbiz.de/10011739880

Squeezing the interest rate smoothing weight with hybrid expectations model

Castelnuovo, Efrem - 2002

Persistent link: https://www.econbiz.de/10001711254

Squeezing the interest rate smoothing weight with a hybrid expectations model

Castelnuovo, Efrem - 2003

Persistent link: https://www.econbiz.de/10001743039