Uncertainty and monetary policy in good and bad times : A Replication of the VAR investigation by Bloom (2009)
Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela (20.07.2021)
Tässä tietueessa ei ole tiedostoja, ainoastaan metadata.
Volyymi
37Numero
1 ; January 2022
2022
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-202109131528Tiivistelmä
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.