How do short and long term interest rates respond to a jump in financial uncertainty? We address this question by … conducting a local projections analysis with US monthly data, period: 1962-2018. The state-of-the-art financial uncertainty … particular, an increase in financial uncertainty is found to trigger a negative and significant response of both short and long …

shocks, an unexpected interest rate hike conditional on a constant inflation target and an unpredicted drift in the inflation … business cycle indicators. Our results document the substantial uncertainty surrounding the estimated effects of these two …

to different filtering. This uncertainty notwithstanding, shocks to trend inflation are given robust support as the main … inflation driver in the post-WWII era. …

The role of trend inflation shocks for the U.S. macroeconomic dynamics is investigated by estimating two DSGE models of … the business cycle. Policymakers are assumed to be concerned with a time-varying inflation target, which is modeled as a … persistent and stochastic process. The identification of trend inflation shocks (as opposed to a number of alternative …

-specific) uncertainty and offers ten main takeaways. The second part reviews contributions on the fast-growing strand of the literature … focusing on the macroeconomic effects of uncertainty spillovers and global uncertainty. The last part proposes a novel measure … of global financial uncertainty and shows that its unexpected variations are associated to statistically and economically …

common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial … production series for the US economy. Our results indicate that common uncertainty and uncertainty linked to nondurable goods … both recorded their pre-pandemic global peaks during the 1973-75 recession. In contrast, durable goods uncertainty recorded …

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 impulse responses coming from the nonlinear VAR framework to estimate … milder macroeconomic responses to a monetary policy shock estimated with our VAR in presence of high uncertainty. A version …

common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial … production series for the US economy. Our results indicate that common uncertainty and uncertainty linked to nondurable goods … both recorded their pre-pandemic global peaks during the 1973-75 recession. In contrast, durable goods uncertainty recorded …

-specific) uncertainty and offers ten main takeaways. The second part reviews contributions on the fast-growing strand of the literature … focusing on the macroeconomic effects of uncertainty spillovers and global uncertainty. The last part proposes a novel measure … of global financial uncertainty and shows that its unexpected variations are associated to statistically and economically …