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 Group Munich
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)
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
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)
Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_7105
Access Statistics for this paper
More papers in CESifo Working Paper Series from CESifo Group Munich Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().