Uncertainty And Monetary Policy In The US: A Journey Into Non-Linear Territory

Giovanni Pellegrino

No 184, "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno"

Abstract: This paper estimates a non-linear Interacted VAR model in order to assess whether the real effects of monetary policy shocks are lower during times of high uncertainty. In a novel way with respect to the literature, uncertainty, which serves as the conditioning indicator discriminating "high" from "low" uncertainty states, is modeled endogenously in the VAR and is found to reduce after the shocks. Generalized Impulse Response Functions à la Koop, Pesaran and Potter (1996) suggest that monetary policy shocks are signi?cantly less effective during uncertain times, with the peak reactions of a battery of real variables being about two-thirds milder than those during tranquil times. We also show that, consistently with Vavra?s (2014) predictions, the reaction of prices appears greater during ?firm-level uncertain times.

Keywords: Monetary policy shocks; Non-Linear Structural Vector Auto-Regressions; Interacted VAR; Generalized Impulse Response Functions; Uncertainty. (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 (search for similar items in EconPapers)
Date: 2015-08
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
https://economia.unipd.it/sites/economia.unipd.it/files/20140184_0.pdf (application/pdf)

Related works:
Journal Article: Uncertainty and monetary policy in the US: A journey into nonlinear territory (2021)
Working Paper: Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory (2020)
Working Paper: Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory (2017)
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:pad:wpaper:0184

Access Statistics for this paper

More papers in "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno" Contact information at EDIRC.
Bibliographic data for series maintained by Raffaele Dei Campielisi ().