Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171086
Authors: 
Caggiano, Giovanni
Castelnuovo, Efrem
Pellegrino, Giovanni
Year of Publication: 
2017
Series/Report no.: 
CESifo Working Paper 6622
Abstract: 
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 are economically important. Our results are shown not to be driven by the contemporaneous occurrence of the Great Recession and high .nancial stress, and to be robust to different ways of modeling unconventional monetary policy. These findings lend support to recent theoretical contributions on the interaction between uncertainty shocks and the stance of monetary policy.
Subjects: 
uncertainty shocks
nonlinear structural vector auto regressions
interacted VAR
generalized impulse response functions
zero lower bound
JEL: 
C32
E32
Document Type: 
Working Paper

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