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Why does risk matter more in recessions than in expansions?
Andreasen, Martin Møller; Caggiano, Giovanni; … - 2021
-sized uncertainty shock generates a larger contraction in real activity when growth is low (as in recessions) than when growth is high …
Persistent link: https://www.econbiz.de/10012628705
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Economic policy uncertainty spillovers in booms and busts
Caggiano, Giovanni; Castelnuovo, Efrem; Figueres, Juan … - 2018
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...
Persistent link: https://www.econbiz.de/10011862894
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Uncertainty and Monetary Policy in Good and Bad Times : A Replication of the VAR Investigation by Bloom (2009)
Caggiano, Giovanni - 2020
an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …
Persistent link: https://www.econbiz.de/10012824829
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Uncertainty and Monetary Policy in Good and Bad Times : A Replication of the VAR Investigation by Bloom (2009)
Caggiano, Giovanni - 2020
an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …
Persistent link: https://www.econbiz.de/10012825689
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Uncertainty and Monetary Policy in Good and Bad Times
Caggiano, Giovanni - 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/10012960430
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Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound
Caggiano, Giovanni - 2017
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
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Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound
Caggiano, Giovanni - 2017
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/10012965454
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Uncertainty and Monetary Policy in Good and Bad Times
Caggiano, Giovanni - 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/10012947523
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Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound
Caggiano, Giovanni - 2017
We employ a parsimonious nonlinear Interacted-VAR to examine whether the real effects of uncertainty shocks are greater when the economy is at the ZeroLower 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/10012947624
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Financial uncertainty and real activity : the good, the bad, and the ugly
Caggiano, Giovanni; Castelnuovo, Efrem; Delrio, Silvia; … - 2020
disruptions are found to double the negative output response to an uncertainty shock. We then employ our model to estimate the … overall economic cost of the COVID-19-induced uncertainty shock under different scenarios. Our results point to the … interventions that keep credit conditions as healthy as they were before the COVID-19 uncertainty shock are found to substantially …
Persistent link: https://www.econbiz.de/10012245103