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A Peer-reviewed scientific articles/A1 Journal article (refereed), original research
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Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound, European Economic Review November (2017). Caggiano, Giovanni; Castelnuovo, Efrem; Pellegrino, Giovanni

Category A Peer-reviewed scientific articles
Sub-category A1 Journal article (refereed), original research
auki Internal authors
All authors as text Caggiano, Giovanni; Castelnuovo, Efrem; Pellegrino, Giovanni 
Number of authors
Status Published
Year of publication 2017 
Date 15.11.2017 
Name of article Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound 
Name of journal European Economic Review
Volume of issue 100 
Number of issue November 
Pages 257-272 
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. We find the contractionary effects of uncertainty shocks to be statistically larger when the ZLB is binding, with differences that are economically important. Our results are shown not to be driven by the contemporaneous occurrence of the Great Recession and high financial stress, and to be robust to different ways of modeling unconventional monetary policy. These findings lend support to recent theoretical contributions on the interaction between uncertainty shocks and the stance of monetary policy.
Free text descriptor in Finnish häiriöt; epävarmuus; korot; rahapolitiikka 
Free text descriptor in English Uncertainty shocks; Nonlinear Structural Vector AutoRegressions; Interacted VAR; Generalized Impulse Response Functions; Zero Lower Bound 
JEL-codes C32; E32 
ISSN / e-ISSN 0014-2921 
auki Internet addresses
Additional information Available online 6 September 2017.
Notes BoF DP 6/2017 

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