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

Efrem Castelnuovo, Giovanni Caggiano and Giovanni Pellegrino

No 200, "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno"

Abstract: 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. Our results show that the contractionary effects of uncertainty shocks are statistically larger when the ZLB is binding, with differences that are economically important. Such differences are shown not to be driven by the contemporaneous occurrence of the Great Recession. These fi?ndings lend support to recent theoretical contributions on the interaction between uncertainty shocks and the stance of monetary policy.

Keywords: Uncertainty shocks; Nonlinear Structural Vector AutoRegressions; Interacted VAR; Generalized Impulse Response Functions; Zero Lower Bound. (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2015-08
New Economics Papers: this item is included in nep-cba and nep-mac
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Citations: View citations in EconPapers (32)

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Related works:
Working Paper: Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound (2018)
Journal Article: Estimating the real effects of uncertainty shocks at the Zero Lower Bound (2017)
Working Paper: Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound (2017)
Working Paper: Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound (2017)
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