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Uncertainty-Dependent Effects of Monetary Policy Shocks : A New Keynesian Interpretation

Castelnuovo, Efrem - 2018

milder macroeconomic responses to a monetary policy shock estimated with our VAR in presence of high uncertainty. A version …

Persistent link: https://www.econbiz.de/10012925921

Uncertainty-Dependent Effects of Monetary Policy Shocks : A New Keynesian Interpretation

Castelnuovo, Efrem - 2018

milder macroeconomic responses to a monetary policy shock estimated with our VAR in presence of high uncertainty. A version …

Persistent link: https://www.econbiz.de/10012926998

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

Castelnuovo, Efrem; Pellegrino, Giovanni - 2017

milder macroeconomic responses to a monetary policy shock estimated with our VAR in presence of high uncertainty. A version …

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

Yield curve and financial uncertainty : evidence based on US data

Castelnuovo, Efrem - 2019

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. …

Persistent link: https://www.econbiz.de/10012029082

Domestic and global uncertainty : a survey and some new results

Castelnuovo, Efrem - 2019

This survey features three parts. The first one covers the recent literature on domestic (i.e., country-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...

Persistent link: https://www.econbiz.de/10012119543

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

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

Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions

Caggiano, Giovanni - 2014

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

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

Economic policy uncertainty and unemployment in the United States : a nonlinear approach

Caggiano, Giovanni; Castelnuovo, Efrem; Figueres, Juan … - 2018

We model U.S. post-WWII monthly data with a Smooth Transition VAR model and study the effects of an unanticipated increase in economic policy uncertainty on unemployment in recessions and expansions. We find the response of unemployment to be statistically and economically larger in recessions....

Persistent link: https://www.econbiz.de/10011864417