NDLI: Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound

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Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound

Content Provider	Scilit
Author	Caggiano, Giovanni Castelnuovo, Efrem Pellegrino, Giovanni
Copyright Year	2017
Description	Journal: SSRN Electronic Journal 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 are economically important. Our results are shown not to be driven by the contemporaneous occurrence of the Great Recession and high financial 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.
Related Links	http://melbourneinstitute.unimelb.edu.au/downloads/working_paper_series/wp2017n01.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2899899
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.2899899
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2017-01-13
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Mathematical Social Sciences Uncertainty Shocks Nonlinear Structural Vector Autoregressions Interacted Var Generalized Impulse Response Functions Zero Lower Bound
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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