Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/223569
Authors: 
Caggiano, Giovanni
Castelnuovo, Efrem
Nodari, Gabriela
Year of Publication: 
2020
Series/Report no.: 
CESifo Working Paper No. 8497
Abstract: 
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 framework that allows for business cycle-dependent macroeconomic responses to an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual simulations point to a greater effectiveness of systematic monetary policy in stabilizing real activity in expansions.
Subjects: 
uncertainty shocks
nonlinear smooth transition Vector AutoRegressions
generalized impulse response functions
systematic monetary policy
JEL: 
C32
E32
Document Type: 
Working Paper

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