Relatore
Efrem Castelnuovo
University of Melbourne and Università di Padova
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 findings lend support to recent theoretical contributions on the interaction between uncertainty shocks and the stance of monetary policy.
Contact person: Luca Fanelli