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

Giovanni Caggiano, Efrem Castelnuovo and Juan Figueres

No 209, "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno"

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 confi?rms 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)
Pages: 18 pages
Date: 2016-10
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (8)

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Related works:
Working Paper: Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach (2018)
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)
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Persistent link: https://EconPapers.repec.org/RePEc:pad:wpaper:0209

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