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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

This paper revisits the well-known VAR evidence on the real effects of uncertainty shocks by Bloom (Econometrica 2009(3): 623-685. doi: 10.3982/ECTA6248). We replicate the results in a narrow sense using Eviews. In a wide sense, we extend his study by working with a smooth transition-VAR...

Persistent link: https://www.econbiz.de/10012824829

Uncertainty and Monetary Policy in Good and Bad Times : A Replication of the VAR Investigation by Bloom (2009)

Caggiano, Giovanni - 2020

Persistent link: https://www.econbiz.de/10012825689

Regularized Estimation of Structural Instability in Factor Models : The US Macroeconomy and the Great Moderation

Callot, Laurent - 2015

This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...

Persistent link: https://www.econbiz.de/10013021882

Public Wages, Public Employment, and Business Cycle Volatility : Evidence from U.S. Metro Areas

A. Reicher, Claire - 2016

business cycle volatility, hinting at a stabilizing effect of public employment, while public wages correlate weakly and … positively with business cycle volatility, hinting at a destabilizing effect of public wages. To explain these relationships, we …

Persistent link: https://www.econbiz.de/10012989839

How do Oil Shocks Transmit Through the US Economy? Evidence from a Large BVAR Model with Stochastic Volatility

Fry-McKibbin, Renee; Zhu, Beili - 2021

This paper employs a large BVAR model with common stochastic volatility to examine the effects of oil supply shocks … 2019Q2. Generalized impulse response functions calculated using stochastic volatility provide a time-varying account of the …

Persistent link: https://www.econbiz.de/10013249741

A Monthly Volatility Index for the US Real Economy

Frale, Cecilia - 2009

We estimate the monthly volatility of the US economy from 1959 to 2008 by extending the factor model of Stock and … Watson (1991). The volatility of the factor, which we call VOLINX, has three applications.First, it measures the changes in … uncertainty in the economy. VOLINX captures the decrease in the volatility in the mid-80s (the so-called Great Moderation) as well …

Persistent link: https://www.econbiz.de/10012720729

Uncertainty and monetary policy in good and bad times : a replication of the VAR investigation by Bloom (2009)

Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela - 2020

Persistent link: https://www.econbiz.de/10012263375

Estimating the real effects of uncertainty shocks at the Zero Lower Bound

Caggiano, Giovanni; Castelnuovo, Efrem; Pellegrino, 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/10011718014

Uncertainty and monetary policy in good and bad times

Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela - 2017

financial volatility. Uncertainty shocks hitting in recessions are found to trigger a more abrupt drop and a faster recovery in …

Persistent link: https://www.econbiz.de/10011718461

Is the Great Moderation Ending? UK and US Evidence

Canarella, Giorgio; Fang, Wen-Shwo; Miller, Stephen M.; … - 2010

The Great Moderation, the significant decline in the variability of economic activity, provides a most remarkable feature of the macroeconomic landscape in the last twenty years. A number of papers document the beginning of the Great Moderation in the US and the UK. In this paper, we use the...

Persistent link: https://www.econbiz.de/10014215633