Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach

Giovanni Caggiano, Efrem Castelnuovo and Juan Manuel Figueres

No 7105, CESifo Working Paper Series from CESifo

Abstract: 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. A state-contingent forecast error variance decomposition analysis confirms that the contribution of EPU shocks to the volatility of unemployment at business cycle frequencies is markedly larger in recessions.

Keywords: economic policy uncertainty shocks; unemployment dynamics; Smooth Transition Vector AutoRegressions; recessions; expansions (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp7105.pdf (application/pdf)

Related works:
Journal Article: Economic policy uncertainty and unemployment in the United States: A nonlinear approach (2017)
Working Paper: Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach (2017)
Working Paper: Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_7105

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().