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stronger than that of the long end (i.e., of long term ones). In other words, a financial uncertainty shock causes a temporary … recovery in real activity after a financial uncertainty shock. …
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We estimate a nonlinear VAR to quantify the impact of economic policy uncertainty shocks originating in the US on the Canadian unemployment rate in booms and busts. We find strong evidence in favor of asymmetric spillover effects. Unemployment in Canada is shown to react to uncertainty shocks in...
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policy shock. In contrast, our Monte Carlo VAR results replicate our evidence obtained with actual U.S. data. Hence, modest … macroeconomic effects may very well be an artifact of Cholesky-VARs. A combination of supply and demand shocks may be behind the …
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