Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach
By Giovanni Caggiano, Efrem Castelnuovo, J. Figueres. Social Science Research Network, 2017
340 citations recorded by the source corpus.
We model US 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 confirms that the contribution of EPU shocks to the volatility of unemployment at business cycle frequencies is markedly larger in recessions.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/e29405b292e65cb1799d4b43e402eace2458d791
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In Economics and Econometrics
- Stavros Degiannakis *
- George Filis
- Sofia Panagiotakopoulou
- Giovanni Caggiano
- Efrem Castelnuovo
- Giovanni Pellegrino
- Javier J. Pérez
- A. Urtasun
Citations in the corpus
- How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique (2020, background): “…effects on macroeconomic factors includes, impact of EPU on economic development (Scheffel, 2016), inflation and output (Jones and Olson, 2013), unemployment rate (Caggiano et al., 2017), exchange rate forecasting (Beckmann and Czudaj, 2017), and real housing yields (Christou et al., 2017), etc.”
- Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound (2017, positive): “Caggiano, Castelnuovo, and Groshenny (2014) and Caggiano, Castelnuovo, and Figueres (2017) use a SmoothTransition VAR to estimate the response of unemployment to uncertainty shocks in recessions.”
- Oil price shocks and uncertainty: How stable is their relationship over time? (2018, background): “The finding for VIX echoes this by Degiannakis et al. (2014) who maintain that European stock market volatility responds negatively to positive aggregate demand shocks.”
- Economic Policy Uncertainty Spillovers in Booms and Busts (2019, positive): “economy along this line is provided by, among others, Nodari (2014), Caggiano, Castel-nuovo, and Groshenny (2014), Caggiano, Castelnuovo, and Figueres (2017), Caggiano, Castelnuovo, and Nodari (2019) and Ferrara and Gurin (2018), while Casarin, Foroni, Marcellino, and Ravazzolo (2018) find evidence…”
- A new economic policy uncertainty index for Spain (2019, positive): “Castelnuovo et al. (2017), and the references quoted therein).”