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- Title
Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009).
- Authors
Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela
- Abstract
Summary: This paper revisits the well‐known vector autoregressive (VAR) evidence on the real effects of uncertainty shocks by Bloom (2009, https://doi.org/10.3982/ECTA6248). We replicate the results in a narrow sense using EViews. In a wide sense, we extend his study by working with a smooth transition VAR framework that allows for business cycle‐dependent macroeconomic responses to an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual simulations point to a greater effectiveness of systematic monetary policy in stabilizing real activity in expansions.
- Subjects
MONETARY policy; COUNTERFACTUALS (Logic)
- Publication
Journal of Applied Econometrics, 2022, Vol 37, Issue 1, p210
- ISSN
0883-7252
- Publication type
Article
- DOI
10.1002/jae.2861