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Efrem Castelnuovo

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:

    Mentioned in:

    1. Why does risk matter more in recessions than in expansions?
      by Christian Zimmermann in NEP-DGE blog on 2021-11-15 16:41:15
  1. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020. "Uncertainty and Monetary Policy during Extreme Events," CESifo Working Paper Series 8561, CESifo.

    Mentioned in:

    1. Uncertainty and Monetary Policy during Extreme Events
      by Christian Zimmermann in NEP-DGE blog on 2020-10-23 03:19:34
  2. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2021. "Uncertainty and Monetary Policy during the Great Recession," CESifo Working Paper Series 8985, CESifo.

    Mentioned in:

    1. Uncertainty and Monetary Policy during the Great Recession
      by Christian Zimmermann in NEP-DGE blog on 2021-04-19 16:48:30

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020. "Uncertainty and Monetary Policy During Extreme Events," "Marco Fanno" Working Papers 0262, Dipartimento di Scienze Economiche "Marco Fanno".

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Policy responses > Macroeconomic

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2020. "Uncertainty and monetary policy in good and bad times: A replication of the VAR investigation by Bloom (2009)," "Marco Fanno" Working Papers 0261, Dipartimento di Scienze Economiche "Marco Fanno".

    Mentioned in:

    1. Uncertainty and monetary policy in good and bad times: A replication of the VAR investigation by Bloom (2009) ("Marco Fanno" Working Papers 2020) in ReplicationWiki ()

Working papers

  1. Efrem Castelnuovo & Giovanni Pellegrino & Laust L. Særkjær, 2025. "Monetary Policy Shocks and Narrative Restrictions: Rules Matter," CESifo Working Paper Series 12246, CESifo.

    Cited by:

    1. Marcellino, Massimiliano & Tornese, Tommaso, 2025. "An empirical investigation of the effects of monetary policy shocks on the Italian economy," Economics Letters, Elsevier, vol. 257(C).

  2. Efrem Castelnuovo & Lorenzo Mori & Gert Peersman, 2024. "Commodity Price Shocks and Global Cycles: Monetary Policy Matters," CESifo Working Paper Series 11140, CESifo.

    Cited by:

    1. Boeck, Maximilian & Zörner, Thomas O., 2025. "Natural gas prices, inflation expectations, and the pass-through to euro area inflation," Energy Economics, Elsevier, vol. 141(C).
    2. Gert Peersman, 2026. "Understanding Post-Pandemic Inflation Fluctuations: The Commodity Cost Channel," CESifo Working Paper Series 12415, CESifo.
    3. Broer, Tobias & Kramer, John & Mitman, Kurt, 2025. "The Distributional Effects of Oil Shocks," IZA Discussion Papers 17949, IZA Network @ LISER.
    4. Hilde C. Bjørnland & Jamie L. Cross & Jonas Hölz, 2025. "Re-visiting the Relationship Between Oil Prices and Monetary Policy," Working Papers No 04/2025, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    5. Gelain, Paolo & Lorusso, Marco, 2025. "Oil price fluctuations, US banks, and macroprudential policy," Journal of Monetary Economics, Elsevier, vol. 156(C).
    6. Fabrizio Ferriani & Andrea Gazzani, 2025. "The international transmission of Chinese monetary policy and the commodity channel," Temi di discussione (Economic working papers) 1510, Bank of Italy, Economic Research and International Relations Area.
    7. Arce-Alfaro, Gabriel, 2025. "The economic implications of oil supply uncertainty," Energy Economics, Elsevier, vol. 145(C).
    8. Ozge Kandemir Kocaaslan & Aysegul Uckun Ozkan, 2026. "The effects of oil news shock on sectoral employment in the USA," Empirical Economics, Springer, vol. 70(3), pages 1-27, March.

  3. Efrem Castelnuovo & Kerem Tuzcuoglu & Luis Uzeda, 2022. "Sectoral Uncertainty," Staff Working Papers 22-38, Bank of Canada.

    Cited by:

    1. Comunale, Mariarosaria & Nguyen, Anh Dinh Minh, 2025. "A comprehensive MacroEconomic uncertainty measure for the euro area and its implications to COVID-19," Journal of International Money and Finance, Elsevier, vol. 157(C).
    2. Haroon Mumtaz & Sofia Velasco, 2026. "A Dynamic Factor Model for Level and Volatility," Papers 2604.03681, arXiv.org.

  4. Efrem Castelnuovo & Giovanni Pellegrino & Giacomo Ranzato, 2022. "Delayed Overshooting Puzzle: Does Systematic Monetary Policy Matter?," "Marco Fanno" Working Papers 0280, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Fabrice Dabiré, 2022. "Forward guidance and the exchange rate: A theoretical sign restricted VAR analysis," Cahiers de recherche 22-03, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
    2. Matthew Read, 2023. "Estimating the Effects of Monetary Policy in Australia Using Sign‐restricted Structural Vector Autoregressions," The Economic Record, The Economic Society of Australia, vol. 99(326), pages 329-358, September.
    3. Nicolas Groshenny & Naveed Javed, 2023. "Dornbusch s overshooting and the systematic component of monetary policy in SOE-SVARs," TEPP Working Paper 2023-08, TEPP.
    4. Sebastian K. Rüth & Wouter Van der Veken, 2023. "Monetary policy and exchange rate anomalies in set‐identified SVARs: Revisited," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(7), pages 1085-1092, November.
    5. Stylianos Asimakopoulos & Marco Lorusso & Francesco Ravazzolo, 2023. "A Bayesian DSGE Approach to Modelling Cryptocurrency," Working Papers No 09/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.

  5. Efrem Castelnuovo & Lorenzo Mori, 2022. "Uncertainty, Skewness, and the Business Cycle through the MIDAS Lens," CESifo Working Paper Series 10062, CESifo.

    Cited by:

    1. Dimitris Korobilis & Maximilian Schröder, 2023. "Probabilistic Quantile Factor Analysis," Working Papers No 05/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    2. Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Paper 2023/9, Norges Bank.
    3. Korobilis, Dimitris & Schröder, Maximilian, 2025. "Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach," Journal of Econometrics, Elsevier, vol. 249(PC).
    4. Marcellino, Massimiliano & Pfarrhofer, Michael, 2025. "Nonparametric mixed frequency monitoring macro-at-risk," Economics Letters, Elsevier, vol. 255(C).
    5. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    6. Carlos Cañizares Martínez & Arne Gieseck, 2025. "The effects of macro uncertainty shocks in the euro area: a FAVAR approach," Empirical Economics, Springer, vol. 68(6), pages 2829-2872, June.
    7. Schick, Manuel, 2024. "Real-time Nowcasting Growth-at-Risk using the Survey of Professional Forecasters," Working Papers 0750, University of Heidelberg, Department of Economics.

  6. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Mathias Krogh & Giovanni Pellegrino, 2024. "Real Activity and Uncertainty Shocks: The Long and the Short of It," "Marco Fanno" Working Papers 0310, Dipartimento di Scienze Economiche "Marco Fanno".
    2. Benner, Niklas & Blagov, Boris & Dirks, Maximilian W., 2025. "Measuring political instability at a high frequency," Ruhr Economic Papers 1186, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    3. Emanuele Bacchiocchi & Catalin Dragomirescu-Gaina, 2022. "Uncertainty spill-overs: when policy and financial realms overlap," Working Papers wp1174, Dipartimento Scienze Economiche, Universita' di Bologna.
    4. Yugang He, 2023. "Unraveling the COVID-19 Pandemic’s Impact on South Korea’s Macroeconomy: Unearthing Novel Transmission Channels within the Energy Sector and Production Technologies," Energies, MDPI, vol. 16(9), pages 1-10, April.
    5. Moritz Grebe & Sinem Kandemir & Peter Tillmann, 2023. "Uncertainty about the War in Ukraine: Measurement and Effects on the German Business Cycle," MAGKS Papers on Economics 202314, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    6. Matteo Cacciatore & Stefano Gnocchi & Daniela Hauser, 2023. "Time Use and Macroeconomic Uncertainty," Staff Working Papers 23-29, Bank of Canada.
    7. Dibiasi, Andreas & Sarferaz, Samad, 2023. "Measuring macroeconomic uncertainty: A cross-country analysis," European Economic Review, Elsevier, vol. 153(C).
    8. Beckmann, Joscha & Czudaj, Robert L., 2026. "Uncertainty shocks and inflation: The role of credibility and expectation anchoring," Journal of International Money and Finance, Elsevier, vol. 160(C).
    9. Grebe, Moritz & Kandemir, Sinem & Tillmann, Peter, 2023. "Uncertainty about the war in Ukraine: Measurement and effects on the German business cycle," IMFS Working Paper Series 184, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    10. Konstantina Manou & Evangelia Papapetrou, 2025. "Does uncertainty matter for household consumption? A mean and a two tails approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 49(4), pages 909-941, December.
    11. Arigoni, Filippo & Lenarčič, Črt, 2023. "Foreign economic policy uncertainty shocks and real activity in the Euro area," MPRA Paper 120022, University Library of Munich, Germany.
    12. Kikuchi, Junichi & Nagao, Ryoya & Nakazono, Yoshiyuki, 2023. "Expenditure responses to the COVID-19 pandemic," Japan and the World Economy, Elsevier, vol. 65(C).
    13. Beckmann, Joscha & Davidson, Sharada Nia & Koop, Gary & Schüssler, Rainer, 2023. "Cross-country uncertainty spillovers: Evidence from international survey data," Journal of International Money and Finance, Elsevier, vol. 130(C).
    14. Antonio Chirumbolo & Antonino Callea & Flavio Urbini, 2022. "Living in Liquid Times: The Relationships among Job Insecurity, Life Uncertainty, and Psychosocial Well-Being," IJERPH, MDPI, vol. 19(22), pages 1-20, November.
    15. Qiao, Xingzhi & Zhu, Huiming & Zhang, Zhongqingyang & Mao, Weifang, 2022. "Time-frequency transmission mechanism of EPU, investor sentiment and financial assets: A multiscale TVP-VAR connectedness analysis," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    16. Alessandri, Piergiorgio & Mumtaz, Haroon, 2025. "The macroeconomic cost of temperature risk," Journal of International Economics, Elsevier, vol. 158(C).
    17. Bayer, Ya'akov M. & Shapir, Offer Moshe & Shapir-Tidhar, Michal H. & Shtudiner, Zeev, 2024. "Navigating the financial fog: The impact of pandemic priming on economic decisions and future valuations," Journal of Behavioral and Experimental Finance, Elsevier, vol. 44(C).
    18. Carlos Canizares Martinez & Arne Gieseck, 2024. "The effects of macro uncertainty shocks in the euro area: A FAVAR approach," Working and Discussion Papers WP 6/2024, Research Department, National Bank of Slovakia.
    19. Ryan, Michael & Holmes, Mark J., 2025. "The effect of uncertainty on output: Instruments, identification, and the role of investment," Economic Modelling, Elsevier, vol. 152(C).
    20. Jamie L. Cross & Lennart Hoogerheide & Paul Labonne & Herman K. van Dijk, 2023. "Bayesian Mode Inference for Discrete Distributions in Economics and Finance," Working Papers No 11/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.

  7. Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why Does Risk Matter More in Recessions than in Expansions?," Economics Working Papers 2021-12, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2023. "Global impacts of US monetary policy uncertainty shocks," Journal of International Economics, Elsevier, vol. 145(C).
    2. Borowski, Jakub & Jaworski, Krystian, 2025. "The impact of excess household savings on inflation dynamics in the EU during the COVID-19 era," Structural Change and Economic Dynamics, Elsevier, vol. 75(C), pages 213-227.
    3. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    4. Efrem Castelnuovo & Lorenzo Mori, 2022. "Uncertainty, Skewness, and the Business Cycle through the MIDAS Lens," CESifo Working Paper Series 10062, CESifo.
    5. Giovanni Pellegrino & Federico Ravenna & Gabriel Züllig, 2021. "The Impact of Pessimistic Expectations on the Effects of COVID‐19‐Induced Uncertainty in the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 841-869, August.
    6. Jaccard, Ivan, 2024. "Monetary asymmetries without (and with) price stickiness," Working Paper Series 2928, European Central Bank.
    7. Ambrocio, Gene, 2022. "Inflationary household uncertainty shocks," Bank of Finland Research Discussion Papers 5/2022, Bank of Finland.

  8. Caggiano, Giovanni & Castelnuovo, Efrem, 2021. "Global uncertainty," Bank of Finland Research Discussion Papers 1/2021, Bank of Finland.

    Cited by:

    1. Oscar Claveria, 2021. "Disagreement on expectations: firms versus consumers," SN Business & Economics, Springer, vol. 1(12), pages 1-23, December.
    2. Claveria, Oscar, 2022. "Global economic uncertainty and suicide: Worldwide evidence," Social Science & Medicine, Elsevier, vol. 305(C).

  9. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2021. "Uncertainty and Monetary Policy during the Great Recession," Economics Working Papers 2021-05, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2023. "Uncertainty And Monetary Policy During The Great Recession," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(2), pages 577-606, May.
    2. Mario Forni & Alessandro Franconi & Luca Gambetti & Luca Sala, 2025. "Asymmetric transmission of oil supply news," Quantitative Economics, Econometric Society, vol. 16(3), pages 947-979, July.
    3. Choi, Sangyup & Furceri, Davide & Yoo, Seung Yong, 2024. "Heterogeneity in the effects of uncertainty shocks on labor market dynamics and extensive vs. intensive margins of adjustment," Journal of Economic Dynamics and Control, Elsevier, vol. 162(C).
    4. Martin Bruns & Helmut Lütkepohl, 2026. "Review of Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 2155, DIW Berlin, German Institute for Economic Research.
    5. Utkansh Adlakha & Sparsh Chawla & Shahab Saquib Sohail & Md. Tabrez Nafis & Dag Øivind Madsen & Gunjan Ansari, 2026. "Public sentiment and economic uncertainty: an exploratory analysis of Twitter discourse on the anticipated 2023 recession," Future Business Journal, Springer, vol. 12(1), pages 1-13, December.
    6. Carlos Cañizares Martínez & Arne Gieseck, 2025. "The effects of macro uncertainty shocks in the euro area: a FAVAR approach," Empirical Economics, Springer, vol. 68(6), pages 2829-2872, June.
    7. Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2025. "The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-22, December.
    8. Josué Diwambuena & Jean-Paul K. Tsasa, 2021. "The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models," BEMPS - Bozen Economics & Management Paper Series BEMPS87, Faculty of Economics and Management at the Free University of Bozen.
    9. Lu, Jiajun & Lv, Linying & Wang, Yizhong & Zhu, Yueteng, 2025. "The real effect of monetary policy under uncertainty: Evidence from the change in corporate financing purposes," Journal of Banking & Finance, Elsevier, vol. 172(C).
    10. Valeriu Nalban & Andra Smadu, 2022. "Uncertainty shocks and the monetary-macroprudential policy mix," Working Papers 739, DNB.
    11. Zhang, Shuonan, 2026. "Uncertainty shocks in an intangible economy," Journal of Economic Dynamics and Control, Elsevier, vol. 182(C).
    12. Andreasen, Martin M. & Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2024. "Does risk matter more in recessions than in expansions? Implications for monetary policy," Journal of Monetary Economics, Elsevier, vol. 143(C).

  10. Caggiano, Giovanni & Castelnuovo, Efrem, 2021. "Global uncertainty," Bank of Finland Research Discussion Papers 1/2021, Bank of Finland.

    Cited by:

    1. Oscar Claveria, 2021. "Disagreement on expectations: firms versus consumers," SN Business & Economics, Springer, vol. 1(12), pages 1-23, December.
    2. Claveria, Oscar, 2022. "Global economic uncertainty and suicide: Worldwide evidence," Social Science & Medicine, Elsevier, vol. 305(C).

  11. Giovanni Caggiano & Efrem Castelnuovo & Silvia Delrio & Richard Kima, 2020. "Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly," CESifo Working Paper Series 8426, CESifo.

    Cited by:

    1. Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2023. "Identification and Inference under Narrative Restrictions," RBA Research Discussion Papers rdp2023-07, Reserve Bank of Australia.
    2. Lukas Berend & Jan Pruser, 2025. "Sharpening Identification in Large Structural VARs Using Narrative Restrictions," Papers 2505.19244, arXiv.org, revised May 2026.
    3. Elder, John & Payne, James E., 2024. "Oil price uncertainty shocks and the gender gap in U.S. unemployment," Energy Economics, Elsevier, vol. 131(C).
    4. Marco Brianti, 2021. "Financial Shocks, Uncertainty Shocks, and Monetary Policy Trade-Offs," Working Papers 2021-05, University of Alberta, Department of Economics.
    5. Fusari, Francesco, 2025. "Identifying monetary policy shocks through external constraints," Journal of Macroeconomics, Elsevier, vol. 85(C).
    6. Mirela S. Miescu & Haroon Mumtaz, 2024. "Corporate Earnings Announcements And Economic Activity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(4), pages 1777-1793, November.
    7. Massimo Guidolin, Serena Ionta, 2026. "Uncertain Climate Policy as a Source of Macro-Financial Shocks: Evidence from Carbon Futures Volatility," BAFFI CAREFIN Working Papers 26262, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    8. Arigoni, Filippo & Lenarcic, Crt, 2023. "Foreign economic policy uncertainty shocks and real activity in the Euro area," Research Technical Papers 7/RT/23, Central Bank of Ireland.
    9. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2023. "Uncertainty And Monetary Policy During The Great Recession," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(2), pages 577-606, May.
    10. Pierluigi Balduzzi & Emanuele Brancati & Marco Brianti & Fabio Schiantarelli, 2020. "Credit Constraints anf Firms' Decisions: Evidence from the COVID-19 Outbreak Italian Firms’ Expectations and Plans," Boston College Working Papers in Economics 1013, Boston College Department of Economics, revised 07 Oct 2022.
    11. De Santis, Roberto A. & Tornese, Tommaso, 2025. "Macroeconomic regime change and the size of supply chain disruption and energy supply shocks," European Economic Review, Elsevier, vol. 178(C).
    12. Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye, 2023. "Monetary Policy Effectiveness in the Face of Uncertainty: The Real Macroeconomic Impact of a Monetary Policy Shock in South Africa during High and Low Uncertainty States," Working Papers 202331, University of Pretoria, Department of Economics.
    13. Pratiti Chatterjee & David Gunawan & Robert Kohn, 2025. "The Interaction between Credit Constraints and Uncertainty Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 57(8), pages 2099-2129, December.
    14. Francesco Fusari & Joe Marlow & Alessio Volpicella, 2024. "Estimation and Inference of the Forecast Error Variance Decomposition for Set-Identified SVARs," School of Economics Discussion Papers 0424, School of Economics, University of Surrey.
    15. De Santis, Roberto A. & Tornese, Tommaso, 2023. "Energy supply shocks’ nonlinearities on output and prices," Working Paper Series 2834, European Central Bank.
    16. Giovanni Caggiano & Efrem Castelnuovo, 2023. "Global financial uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 432-449, April.
    17. Singh, Nidhi & Awan, Usama & Basahel, Sarah & Alghafes, Rsha, 2025. "Digital technology adoption and SC recoverability. The mediating role of relationship transparency and SC production risk management capabilities," Technological Forecasting and Social Change, Elsevier, vol. 218(C).
    18. Marton Lotz & Daniel Ruf & Johannes Strobel, 2023. "Uncertainty premia in REIT returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(2), pages 372-407, March.
    19. Christos Floros & Emilios Galariotis & Konstantinos Gkillas & Efstathios Magerakis & Constantin Zopounidis, 2024. "Time-varying firm cash holding and economic policy uncertainty nexus: a quantile regression approach," Annals of Operations Research, Springer, vol. 341(2), pages 859-895, October.
    20. Breitenlechner, Max & Geiger, Martin & Scharler, Johann, 2022. "Bank liquidity and the propagation of uncertainty in the U.S," Finance Research Letters, Elsevier, vol. 46(PB).
    21. Cafiso, Gianluca & Missale, Alessandro & Rivolta, Giulia, 2025. "The credit channel of the sovereign spread: A Bayesian SVAR analysis," Economic Modelling, Elsevier, vol. 144(C).
    22. Afees A. Salisu & Rangan Gupta & Idris A. Adediran, 2021. "The Effect of US Uncertainty Shock on International Equity Markets: The Role of the Global Financial Cycle," Working Papers 202136, University of Pretoria, Department of Economics.
    23. Edgar Silgado‐Gómez, 2024. "Sovereign Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(4), pages 1985-2018, November.
    24. Caggiano, Giovanni & Castelnuovo, Efrem & Delrio, Silvia & Kima, Richard, 2021. "Financial uncertainty and real activity: The good, the bad, and the ugly," European Economic Review, Elsevier, vol. 136(C).
    25. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    26. Okan Akarsu & Fatih Karahan & Huzeyfe Torun, 2025. "Communication as policy and firm uncertainty: evidence from randomised control trial," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy decision-making and communication under high uncertainty, volume 127, pages 121-140, Bank for International Settlements.
    27. Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2025. "The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-22, December.
    28. De Santis, Roberto A. & Tornese, Tommaso, 2025. "Energy supply shocks’ nonlinearities on output and prices," European Economic Review, Elsevier, vol. 176(C).
    29. Marco Brianti, 2025. "Financial Shocks, Uncertainty Shocks, and Corporate Liquidity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(7), pages 814-828, November.
    30. Dibiasi, Andreas & Sarferaz, Samad, 2023. "Measuring macroeconomic uncertainty: A cross-country analysis," European Economic Review, Elsevier, vol. 153(C).
    31. Koivisto, Tero, 2024. "Asset price shocks and inflation in the Finnish economy," BoF Economics Review 6/2024, Bank of Finland.
    32. Silgado-Gómez, Edgar, 2022. "Sovereign Uncertainty," Research Technical Papers 10/RT/22, Central Bank of Ireland.
    33. Lutz Kilian & Michael D. Plante & Alexander W. Richter, 2025. "Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(4), pages 395-410, June.
    34. Martin Iseringhausen & Konstantinos Theodoridis, 2025. "A survey-based measure of asymmetric macroeconomic risk in the euro area," Working Papers 68, European Stability Mechanism, revised 11 Feb 2025.
    35. Elder, John & Payne, James E., 2023. "Racial and ethnic disparities in unemployment and oil price uncertainty," Energy Economics, Elsevier, vol. 119(C).
    36. Bank for International Settlements, 2025. "Monetary policy decision-making and communication under high uncertainty," BIS Papers, Bank for International Settlements, number 163.
    37. Piergiorgio Alessandri & Andrea Gazzani & Alejandro Vicondoa, 2023. "Are the Effects of Uncertainty Shocks Big or Small?," Working Papers 244, Red Nacional de Investigadores en Economía (RedNIE).
    38. Matthew Read, 2026. "Shock-percentile Restrictions for SVARs," RBA Research Discussion Papers rdp2026-01, Reserve Bank of Australia.
    39. Luca Fanelli & Antonio Marsi, 2021. "Unconventional Monetary Policy in the Euro Area: A Tale of Three Shocks," Working Papers wp1164, Dipartimento Scienze Economiche, Universita' di Bologna.
    40. Tuzcuoglu, Kerem, 2024. "Nonlinear transmission of international financial stress," Economic Modelling, Elsevier, vol. 139(C).
    41. Huang, Yu-Fan & Liao, Wenting & Wang, Taining, 2024. "Does US financial uncertainty spill over through the (asymmetric) international credit channel? The role of market expectations," Journal of International Money and Finance, Elsevier, vol. 148(C).
    42. Ambrocio, Gene, 2022. "Inflationary household uncertainty shocks," Bank of Finland Research Discussion Papers 5/2022, Bank of Finland.
    43. Balduzzi, Pierluigi & Brancati, Emanuele & Brianti, Marco & Schiantarelli, Fabio, 2020. "The Economic Effects of COVID-19 and Credit Constraints: Evidence from Italian Firms' Expectations and Plans," IZA Discussion Papers 13629, IZA Network @ LISER.
    44. Fanelli, Luca & Marsi, Antonio, 2022. "Sovereign spreads and unconventional monetary policy in the Euro area: A tale of three shocks," European Economic Review, Elsevier, vol. 150(C).
    45. Berthold, Brendan, 2023. "The macroeconomic effects of uncertainty and risk aversion shocks," European Economic Review, Elsevier, vol. 154(C).
    46. Huang, Yu-Fan & Liao, Wenting & Luo, Sui & Ma, Jun, 2024. "Financial conditions, macroeconomic uncertainty, and macroeconomic tail risks," Journal of Economic Dynamics and Control, Elsevier, vol. 163(C).
    47. Afees A. Salisu & Rangan Gupta & Riza Demirer, 2022. "The financial US uncertainty spillover multiplier: Evidence from a GVAR model," International Finance, Wiley Blackwell, vol. 25(3), pages 313-340, December.
    48. Andrea Carriero & Alessio Volpicella, 2022. "Generalizing the Max Share Identification to multiple shocks identification: an Application to Uncertainty," School of Economics Discussion Papers 0322, School of Economics, University of Surrey.
    49. Ryan, Michael & Holmes, Mark J., 2025. "The effect of uncertainty on output: Instruments, identification, and the role of investment," Economic Modelling, Elsevier, vol. 152(C).
    50. Sui, Jianli & Lv, Wenqiang & Gao, Xiang & Koedijk, Kees G., 2024. "China’s GDP-at-Risk: Real-Time Monitoring, Risk Tracing, and Macroeconomic Policy Effects," Journal of International Money and Finance, Elsevier, vol. 147(C).
    51. Choi, Sangyup & Furceri, Davide & Loungani, Prakash & Shim, Myungkyu, 2022. "Inflation anchoring and growth: The role of credit constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    52. Conti, Antonio M. & Nobili, Andrea & Signoretti, Federico M., 2023. "Bank capital requirement shocks: A narrative perspective," European Economic Review, Elsevier, vol. 151(C).

  12. Giovanni Angelini & Giovanni Caggiano & Efrem Castelnuovo & Luca Fanelli, 2020. "Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?," Working Papers wp1151, Dipartimento Scienze Economiche, Universita' di Bologna.

    Cited by:

    1. Henri Keränen & Sakari Lähdemäki, 2020. "Identification of fiscal SVARs in small open economies using trading partner forecast errors as instruments," Working Papers 330, Työn ja talouden tutkimus LABORE, Labour Institute for Economic Research LABORE.
    2. Murray, James, 2024. "Fiscal policy reactions and impact over the labor income distribution," Economic Analysis and Policy, Elsevier, vol. 83(C), pages 701-718.
    3. Allan W. Gregory & James McNeil & Gregor W. Smith, 2022. "US Fiscal Policy Shocks: Proxy-SVAR Overidentification via GMM," Working Paper 1461, Economics Department, Queen's University.
    4. Cara Dabrowski & Philipp Heimberger, 2025. "Achieving geoeconomic goals by boosting the economy without raising the public debt ratio? New evidence on the effects of public investment in the European Union," wiiw Policy Notes 99, The Vienna Institute for International Economic Studies, wiiw.

  13. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020. "Uncertainty and Monetary Policy during Extreme Events," Economics Working Papers 2020-11, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2021. "Uncertainty shocks and the great recession: Nonlinearities matter," Economics Letters, Elsevier, vol. 198(C).
    2. Caggiano, Giovanni & Castelnuovo, Efrem & Delrio, Silvia & Kima, Richard, 2021. "Financial uncertainty and real activity: The good, the bad, and the ugly," European Economic Review, Elsevier, vol. 136(C).
    3. Stefan Schiman & Atanas Pekanov, 2020. "Uncertainty in the Euro Area During the First Wave of the COVID-19 Pandemic," WIFO Studies, WIFO, number 66708.
    4. Islam, Hasibul, 2025. "Dynamic effects of uncertainty, risks, R&D, and innovation on global economic growth," Innovation and Green Development, Elsevier, vol. 4(2).
    5. Lahcen Bounader & Guido Traficante, 2022. "Robustly optimal monetary policy in a behavioral environment," Working Papers 2022.01, International Network for Economic Research - INFER.
    6. Josué Diwambuena & Jean-Paul K. Tsasa, 2021. "The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models," BEMPS - Bozen Economics & Management Paper Series BEMPS87, Faculty of Economics and Management at the Free University of Bozen.
    7. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2020. "Measuring Uncertainty and Its Effects in the COVID-19 Era," Working Papers 20-32R, Federal Reserve Bank of Cleveland, revised 05 Jan 2022.

  14. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2020. "Uncertainty and Monetary Policy in Good and Bad Times: A Replication of the VAR Investigation by Bloom (2009)," CESifo Working Paper Series 8497, CESifo.

    Cited by:

    1. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2021. "Uncertainty shocks and the great recession: Nonlinearities matter," Economics Letters, Elsevier, vol. 198(C).
    2. Amritkant MISHRA, 2024. "Do Economic Policy Uncertainty Have Ramifications On Inflation And Stock Market Performance? Evidence From Global Framework," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 19(3), pages 172-190, December.
    3. Haque, Qazi & Magnusson, Leandro M., 2021. "Uncertainty shocks and inflation dynamics in the U.S," Economics Letters, Elsevier, vol. 202(C).
    4. Usman, Ojonugwa & Ozkan, Oktay & Koy, Ayben & Adebayo, Tomiwa Sunday, 2024. "Energy-related uncertainty shocks and inflation dynamics in the U.S: A multivariate quantile-on-quantile regression approach," Structural Change and Economic Dynamics, Elsevier, vol. 71(C), pages 235-247.
    5. Nicholas Apergis & Emmanuel Apergis, 2025. "Uncertainty and inflation: The role of COVID-19 stabilisation policies-Evidence from OECD countries," International Economics and Economic Policy, Springer, vol. 22(1), pages 1-9, February.
    6. Josué Diwambuena & Jean-Paul K. Tsasa, 2021. "The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models," BEMPS - Bozen Economics & Management Paper Series BEMPS87, Faculty of Economics and Management at the Free University of Bozen.
    7. Andreas Dibiasi & Heiner Mikosch & Samad Sarferaz, 2021. "Uncertainty Shocks, Adjustment Costs and Firm Beliefs: Evidence From a Representative Survey," KOF Working papers 21-496, KOF Swiss Economic Institute, ETH Zurich.

  15. Caggiano, Giovanni & Castelnuovo, Efrem & Kima, Richard, 2020. "The global effects of Covid-19-induced uncertainty," Bank of Finland Research Discussion Papers 11/2020, Bank of Finland.

    Cited by:

    1. Luccas Assis Attílio, 2025. "When global tensions hit the table: geopolitical risk and Brazil’s food prices," Economic Change and Restructuring, Springer, vol. 58(6), pages 1-30, December.
    2. Rangan Gupta & Sowmya Subramaniam & Elie Bouri & Qiang Ji, 2020. "Infectious Disease-Related Uncertainty and the Safe-Haven Characteristic of US Treasury Securities," Working Papers 202078, University of Pretoria, Department of Economics.
    3. PINSHI, Christian P., 2020. "Préserver l’Économie à l’Ere de la COVID-19 : Une Pensée Optimale à la Fujita [Safeguarding the Economy in the Age of COVID-19: A Fujita-style Optimal Thinking]," MPRA Paper 105107, University Library of Munich, Germany, revised Jul 2020.
    4. Kovalenko, Tim, 2021. "Uncertainty shocks and employment fluctuations in Germany: The role of establishment size," Discussion Papers 119, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Labour and Regional Economics.
    5. Muhammad Nadir Shabbir & Muhammad Usman Arshad & Muhammad Amir Alvi & Kainat Iftikhar, 2022. "Impact of Trade Policy Uncertainty and Sustainable Development on Medical Innovation for Developed Countries: An Application of DID Approach," Sustainability, MDPI, vol. 15(1), pages 1-26, December.
    6. Raffaele Mattera & Michelangelo Misuraca & Maria Spano & Germana Scepi, 2023. "Mixed frequency composite indicators for measuring public sentiment in the EU," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2357-2382, June.
    7. Norbert Bajkó & Zsolt Fülöp & Kinga Nagyné Pércsi, 2022. "Changes in the Innovation- and Marketing-Habits of Family SMEs in the Foodstuffs Industry, Caused by the Coronavirus Pandemic in Hungary," Sustainability, MDPI, vol. 14(5), pages 1-17, March.
    8. Rabhi, Ayoub & haoudi, amina & Bennagem Touati, Ali, 2021. "The Nexus between Government Intervention and Economic Uncertainty During the COVID-19 Pandemic," MPRA Paper 123862, University Library of Munich, Germany.
    9. Benlagha, Noureddine & Karim, Sitara & Naeem, Muhammad Abubakr & Lucey, Brian M. & Vigne, Samuel A., 2022. "Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries," Energy Economics, Elsevier, vol. 115(C).
    10. Jianchun Fang & Giray Gozgor & Sercan Pekel, 2020. "Where You Export Matters: Measuring Uncertainty in Turkey's Export Markets," CESifo Working Paper Series 8404, CESifo.
    11. Keagile Lesame & Geoffrey Ngene & Rangan Gupta & Elie Bouri, 2022. "Herding in International REITs Markets around the COVID-19 Pandemic," Working Papers 202218, University of Pretoria, Department of Economics.
    12. Jonathan E. Ogbuabor & Ekene ThankGod Emeka & Ngozi H. Chinweuba & Chinasa E. Urama, 2026. "Effects of Resource Rent and Infrastructural Development on Entrepreneurship in Africa: A Study of the Moderating Role of Governance Institutions," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 17(2), pages 4471-4498, April.
    13. Gupta, Rangan & Sheng, Xin & Balcilar, Mehmet & Ji, Qiang, 2021. "Time-varying impact of pandemics on global output growth," Finance Research Letters, Elsevier, vol. 41(C).
    14. Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2021. "How do Artificial Intelligence and Robotics Stocks co-move with traditional and alternative assets in the age of the 4th industrial revolution? Implications and Insights for the COVID-19 period," Technological Forecasting and Social Change, Elsevier, vol. 171(C).
    15. Mollick, André Varella, 2025. "Risk, uncertainty, world business cycles, and the U.S. stock-oil relationship," Journal of Commodity Markets, Elsevier, vol. 39(C).
    16. Zaghum Umar & Mariya Gubareva & Tatiana Sokolova, 2021. "The impact of the Covid-19 related media coverage upon the five major developing markets," PLOS ONE, Public Library of Science, vol. 16(7), pages 1-28, July.
    17. Bedru B. Balana & Adebayo Ogunniyi & Motunrayo Oyeyemi & Adetunji Fasoranti & Hyacinth Edeh & Kwaw Andam, 2023. "COVID-19, food insecurity and dietary diversity of households: Survey evidence from Nigeria," Food Security: The Science, Sociology and Economics of Food Production and Access to Food, Springer;The International Society for Plant Pathology, vol. 15(1), pages 219-241, February.
    18. Pagnottoni, Paolo & Spelta, Alessandro & Pecora, Nicolò & Flori, Andrea & Pammolli, Fabio, 2021. "Financial earthquakes: SARS-CoV-2 news shock propagation in stock and sovereign bond markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
    19. Masayuki MORIKAWA, 2022. "Uncertainty of Firms' Medium-term Outlook during the COVID-19 Pandemic," Discussion papers 22079, Research Institute of Economy, Trade and Industry (RIETI).
    20. Salisu, Afees A. & Ayinde, Taofeek O. & Gupta, Rangan & Wohar, Mark E., 2022. "Global evidence of the COVID-19 shock on real equity prices and real exchange rates: A counterfactual analysis with a threshold-augmented GVAR model," Finance Research Letters, Elsevier, vol. 47(PA).
    21. Salisu, Afees A. & Gupta, Rangan & Karmakar, Sayar & Das, Sonali, 2022. "Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty," Resources Policy, Elsevier, vol. 75(C).
    22. Yugang He & Yinhui Wang, 2022. "Macroeconomic Effects of COVID-19 Pandemic: Fresh Evidence from Korea," Sustainability, MDPI, vol. 14(9), pages 1-14, April.
    23. Li, Yanshuang & Shi, Yujie & Shi, Yongdong & Yi, Shangkun & Zhang, Weiping, 2023. "COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    24. Castillo, Brenda & León, Ángel & Ñíguez, Trino-Manuel, 2021. "Backtesting VaR under the COVID-19 sudden changes in volatility," Finance Research Letters, Elsevier, vol. 43(C).
    25. Wang, Dong & Li, Ping & Huang, Lixin, 2022. "Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 46(PA).
    26. Plakandaras, Vasilios & Gupta, Rangan & Balcilar, Mehmet & Ji, Qiang, 2022. "Evolving United States stock market volatility: The role of conventional and unconventional monetary policies," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    27. Müller, Henrik & Blagov, Boris & Schmidt, Torsten & Rieger, Jonas & Jentsch, Carsten, 2025. "The macroeconomic impact of asymmetric uncertainty shocks," The Journal of Economic Asymmetries, Elsevier, vol. 31(C).
    28. Wenmin Wu & Chien-Chiang Lee & Wenwu Xing & Shan-Ju Ho, 2021. "The impact of the COVID-19 outbreak on Chinese-listed tourism stocks," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-18, December.
    29. Yan Wang & Tachia Chin & Francesco Caputo & Hanfeng Liu, 2022. "How Supportive Leadership Promotes Employee Innovation under Uncertainty: Evidence from Chinese E-Commerce Industry," Sustainability, MDPI, vol. 14(12), pages 1-14, June.
    30. Pham, Son Duy & Nguyen, Thao Thac Thanh & Li, Xiao-Ming, 2024. "Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations," Global Finance Journal, Elsevier, vol. 59(C).
    31. Pop, Ionuț Daniel, 2022. "COVID-19 crisis, voters’ drivers, and financial markets consequences on US presidential election and global economy," Finance Research Letters, Elsevier, vol. 44(C).
    32. İbrahim Özmen & Selçuk Bali & Festus Victor Bekun, 2024. "Is Abrams curve a myth or reality? Evidence from two Baltic countries," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(3), pages 2709-2733, June.
    33. Jens Klose & Peter Tillmann, 2022. "The Real and Financial Impact of COVID-19 Around the World," MAGKS Papers on Economics 202201, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    34. Miescu, Mirela & Rossi, Raffaele, 2021. "COVID-19-induced shocks and uncertainty," European Economic Review, Elsevier, vol. 139(C).
    35. Muneer Shaik, 2023. "The Dynamic Effect of Pandemics on Industrial Production Growth," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 22(4), pages 486-506, December.
    36. Wu, Feng-lin & Zhou, Jia-qi & Wang, Ming-hui, 2024. "The writing on the wall: A connectedness-based analysis of ownership structure and bank risk in China," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    37. Markus Brueckner & Joaquin Vespignani, 2020. "Covid-19 Infections and the Performance of the Stock Market: An Empirical Analysis for Australia," ANU Working Papers in Economics and Econometrics 2020-674, Australian National University, College of Business and Economics, School of Economics.
    38. Steven Buigut and Burcu Kapar, 2022. "Do COVID-19 Incidence and Government Intervention Influence Media Indices?," Bulletin of Applied Economics, Risk Market Journals, vol. 9(2), pages 79-100.
    39. Dorra TURKI & Foued Badr GABSI, 2023. "Uncertainty and monetary policy during the Covid-19 pandemic in Tunisia: Evidence from a Bayesian VAR," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(634), S), pages 177-188, Spring.
    40. Heather Anderson & Giovanni Caggiano & Farshid Vahid & Benjamin Wong, 2020. "Sectoral Employment Dynamics in Australia," Monash Econometrics and Business Statistics Working Papers 20/20, Monash University, Department of Econometrics and Business Statistics.
    41. Dou, Yue & Li, Yiying & Dong, Kangyin & Ren, Xiaohang, 2022. "Dynamic linkages between economic policy uncertainty and the carbon futures market: Does Covid-19 pandemic matter?," Resources Policy, Elsevier, vol. 75(C).
    42. Pavel Kotyza & Katarzyna Czech & Michał Wielechowski & Luboš Smutka & Petr Procházka, 2021. "Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?," Agriculture, MDPI, vol. 11(2), pages 1-16, January.
    43. Xu, Xin & Xu, Xiaoguang, 2023. "Monetary policy transmission modeling and policy responses," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    44. Ruipeng Liu & Mawuli Segnon & Rangan Gupta & Elie Bouri, 2021. "Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective," Working Papers 202178, University of Pretoria, Department of Economics.
    45. Nasir, Muhammad Ali & Le, Thi Ngoc Lan & Ghabri, Yosra & Huynh, Luu Duc Toan, 2023. "Sovereign bonds and flight to safety: Implications of the COVID-19 crisis for sovereign debt markets in the G-7 and E-7 economies," International Review of Financial Analysis, Elsevier, vol. 86(C).
    46. M. Karanasos & S. Yfanti & J. Hunter, 2022. "Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises," Annals of Operations Research, Springer, vol. 313(2), pages 1077-1116, June.
    47. Valeriu Nalban & Andra Smadu, 2020. "Financial disruptions and heightened uncertainty: a case for timely policy action," Working Papers 687, DNB.
    48. Attílio, Luccas Assis & Mollick, André Varella, 2024. "Assessing the baseline model of WTI oil and stock returns under financial volatility and spillover effects," Energy Economics, Elsevier, vol. 135(C).
    49. Szafranek, Karol & Szafrański, Grzegorz & Leszczyńska-Paczesna, Agnieszka, 2024. "Inflation returns. Revisiting the role of external and domestic shocks with Bayesian structural VAR," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 789-810.
    50. Nalban, Valeriu & Smădu, Andra, 2021. "Asymmetric effects of uncertainty shocks: Normal times and financial disruptions are different," Journal of Macroeconomics, Elsevier, vol. 69(C).
    51. Khalid Usman & Usman Bashir, 2022. "The Effects of Imports and Economic Growth in Chinese Economy: A Granger Causality Approach under VAR Framework," JRFM, MDPI, vol. 15(11), pages 1-14, November.
    52. Tim Kovalenko, 2021. "Uncertainty shocks and employment fluctuations in Germany: the role of establishment size," Working Papers 212, Bavarian Graduate Program in Economics (BGPE).
    53. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2023. "Which COVID-19 information really impacts stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    54. Arigoni, Filippo & Lenarčič, Črt, 2023. "Foreign economic policy uncertainty shocks and real activity in the Euro area," MPRA Paper 120022, University Library of Munich, Germany.
    55. Li, Yanshuang & Shi, Yujie & Shi, Yongdong & Xiong, Xiong & Yi, Shangkun, 2024. "Time-frequency extreme risk spillovers between COVID-19 news-based panic sentiment and stock market volatility in the multi-layer network: Evidence from the RCEP countries," International Review of Financial Analysis, Elsevier, vol. 94(C).
    56. Jiaxin Wu & Jigang Zhang & Hongjuan Yang, 2023. "Sustainable Development of Farmers in Minority Areas after Poverty Alleviation Relocation: Based on an Improved Sustainable Livelihood Analysis Framework," Land, MDPI, vol. 12(5), pages 1-18, May.
    57. Cheng, Tingting & Liu, Junli & Yao, Wenying & Zhao, Albert Bo, 2022. "The impact of COVID-19 pandemic on the volatility connectedness network of global stock market," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    58. Ines Abdelkafi & Sahar Loukil & YossraBen Romdhane, 2023. "Economic Uncertainty During COVID-19 Pandemic in Latin America and Asia," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 14(2), pages 1582-1601, June.
    59. Kizys, Renatas & Tzouvanas, Panagiotis & Donadelli, Michael, 2021. "From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions," International Review of Financial Analysis, Elsevier, vol. 74(C).
    60. Todd Sandler, 2023. "COVID-19 Activities: Publicness and Strategic Concerns," Games, MDPI, vol. 14(1), pages 1-19, January.
    61. Shashank Kathpal & Asif Akhtar & Asma Zaheer & Mohd Naved Khan, 2021. "Covid-19 and heuristic biases: evidence from India," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 26(4), pages 305-316, December.
    62. Afiqah R. Radzi & Rahimi A. Rahman & Saud Almutairi, 2022. "Modeling COVID-19 Impacts and Response Strategies in the Construction Industry: PLS–SEM Approach," IJERPH, MDPI, vol. 19(9), pages 1-25, April.
    63. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning," Working Papers 202111, University of Pretoria, Department of Economics.
    64. Li, Shi & Li, Meng & Fu, Rongsha, 2024. "A sustainable pandemic response: The impact of COVID-19 vaccination coverage on economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 316-332.
    65. Pedro M. Nogueira Reis, 2022. "Determinants of Qualified Investor Sentiment during the COVID-19 Pandemic in North America, Asia, and Europe," Economies, MDPI, vol. 10(6), pages 1-20, June.
    66. Apergis, Nicholas & Mustafa, Ghulam & Malik, Shafaq, 2023. "The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 27-35.
    67. Huynh, Toan Luu Duc & Foglia, Matteo & Nasir, Muhammad Ali & Angelini, Eliana, 2021. "Feverish sentiment and global equity markets during the COVID-19 pandemic," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 1088-1108.
    68. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2020. "Measuring Uncertainty and Its Effects in the COVID-19 Era," Working Papers 20-32R, Federal Reserve Bank of Cleveland, revised 05 Jan 2022.
    69. Zheng Chang & Alex Wei Fung NG & Siying Peng & Dandi Shi, 2024. "Stock price reactions to reopening announcements after China abolished its zero-COVID policy," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 11(1), pages 1-9, December.
    70. Peng-Fei Dai & Xiong Xiong & Zhifeng Liu & Toan Luu Duc Huynh & Jianjun Sun, 2021. "Preventing crash in stock market: The role of economic policy uncertainty during COVID-19," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-15, December.
    71. Afees A. Salisu & Idris A. Adediran & Rangan Gupta, 2021. "A Note on the COVID-19 Shock and Real GDP in Emerging Economies: A Counterfactual Analysis from the Threshold-Augmented Global Vector Autoregressive Model," Working Papers 202149, University of Pretoria, Department of Economics.
    72. Lijun Zhuo & Qian Wu & Hong Le & Hao Li & Ling Zheng & Guoqing Ma & Hongbing Tao, 2021. "COVID-19-Related Intolerance of Uncertainty and Mental Health among Back-To-School Students in Wuhan: The Moderation Effect of Social Support," IJERPH, MDPI, vol. 18(3), pages 1-11, January.
    73. Long, Shaobo & Guo, Jiaqi, 2022. "Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks," Research in International Business and Finance, Elsevier, vol. 62(C).
    74. Xingyuan Yao, 2021. "COVID-19 Pandemic and economic stimulus policy inequality: evidence from quasi-natural experiments," Working Papers 585, ECINEQ, Society for the Study of Economic Inequality.
    75. Mukhtar A. Kassem & Afiqah R. Radzi & Asankha Pradeep & Mohammed Algahtany & Rahimi A. Rahman, 2023. "Impacts and Response Strategies of the COVID-19 Pandemic on the Construction Industry Using Structural Equation Modeling," Sustainability, MDPI, vol. 15(3), pages 1-24, February.
    76. Jalloul, Maya & Miescu, Mirela, 2023. "Equity market connectedness across regimes of geopolitical risks: Historical evidence and theory," Journal of International Money and Finance, Elsevier, vol. 137(C).
    77. Berthold, Brendan, 2023. "The macroeconomic effects of uncertainty and risk aversion shocks," European Economic Review, Elsevier, vol. 154(C).
    78. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2022. "The impact and role of COVID-19 uncertainty: A global industry analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    79. Dimitris Anastasiou & Antonis Ballis & Christos Kallandranis & Ioannis Vlassas, 2026. "Positive COVID-19 related sentiment, economic uncertainty & risk management implications," Journal of Banking Regulation, Palgrave Macmillan, vol. 27(1), pages 1-13, March.
    80. Wan, Zhao & Tian, Haowen, 2022. "The effect of the COVID-19 pandemic on information disclosure: Evidence from China," Economics Letters, Elsevier, vol. 217(C).
    81. Iglesias, Emma M., 2022. "The influence of extreme events such as Brexit and Covid-19 on equity markets," Journal of Policy Modeling, Elsevier, vol. 44(2), pages 418-430.
    82. Kamer-Ainur Aivaz & Ionela Florea Munteanu & Mari-Isabella Stan & Alina Chiriac, 2022. "A Multivariate Analysis of the Links between Transport Noncompliance and Financial Uncertainty in Times of COVID-19 Pandemics and War," Sustainability, MDPI, vol. 14(16), pages 1-23, August.
    83. Augeraud-Véron, E. & Boungou, W. & Gupta, P., 2025. "Do better capitalized and bigger banks recover faster from a pandemic-led shock? Evidence from US Banks’ lending behavior," Economic Modelling, Elsevier, vol. 151(C).
    84. Lucas Hafemann, 2021. "The Nexus between lockdown Shocks and Economic Uncertainty: Empirical Evidence from a VAR model," MAGKS Papers on Economics 202132, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    85. Balana, Bedru B. & Oyeyemi, Motunrayo & Ogunniyi, Adebayo & Fasoranti, Adetunji & Edeh, Hyacinth & Andam, Kwaw, 2022. "Have households’ livelihoods and food security rebounded from COVID-19 shocks in Nigeria? Results from a follow-up phone survey," 96th Annual Conference, April 4-6, 2022, K U Leuven, Belgium 321205, Agricultural Economics Society - AES.
    86. Alessandro Gallo & Silvia Pacei & Maria Rosaria Ferrante, 2025. "A Relative Measure of Economic Insecurity and the Nexus with Job Change," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 178(1), pages 91-116, May.
    87. Morita, Hiroshi & Ono, Taiki, 2024. "COVID-19 uncertainty index in Japan: Newspaper-based measures and economic activities," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 390-403.
    88. Kohler, Karsten & Bonizzi, Bruno & Kaltenbrunner, Annina, 2023. "Global financial uncertainty shocks and external monetary vulnerability: The role of dominance, exposure, and history," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    89. Luigi Infante & Francesca Lilla & Francesco Vercelli, 2023. "The effects of the pandemic on households' financial savings: a Bayesian structural VAR analysis," Temi di discussione (Economic working papers) 1421, Bank of Italy, Economic Research and International Relations Area.

  16. Caggiano, Giovanni & Castelnuovo, Efrem & Kima, Richard, 2020. "The global effects of Covid-19-induced uncertainty," Bank of Finland Research Discussion Papers 11/2020, Bank of Finland.

    Cited by:

    1. Luccas Assis Attílio, 2025. "When global tensions hit the table: geopolitical risk and Brazil’s food prices," Economic Change and Restructuring, Springer, vol. 58(6), pages 1-30, December.
    2. Rangan Gupta & Sowmya Subramaniam & Elie Bouri & Qiang Ji, 2020. "Infectious Disease-Related Uncertainty and the Safe-Haven Characteristic of US Treasury Securities," Working Papers 202078, University of Pretoria, Department of Economics.
    3. PINSHI, Christian P., 2020. "Préserver l’Économie à l’Ere de la COVID-19 : Une Pensée Optimale à la Fujita [Safeguarding the Economy in the Age of COVID-19: A Fujita-style Optimal Thinking]," MPRA Paper 105107, University Library of Munich, Germany, revised Jul 2020.
    4. Kovalenko, Tim, 2021. "Uncertainty shocks and employment fluctuations in Germany: The role of establishment size," Discussion Papers 119, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Labour and Regional Economics.
    5. Muhammad Nadir Shabbir & Muhammad Usman Arshad & Muhammad Amir Alvi & Kainat Iftikhar, 2022. "Impact of Trade Policy Uncertainty and Sustainable Development on Medical Innovation for Developed Countries: An Application of DID Approach," Sustainability, MDPI, vol. 15(1), pages 1-26, December.
    6. Raffaele Mattera & Michelangelo Misuraca & Maria Spano & Germana Scepi, 2023. "Mixed frequency composite indicators for measuring public sentiment in the EU," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2357-2382, June.
    7. Norbert Bajkó & Zsolt Fülöp & Kinga Nagyné Pércsi, 2022. "Changes in the Innovation- and Marketing-Habits of Family SMEs in the Foodstuffs Industry, Caused by the Coronavirus Pandemic in Hungary," Sustainability, MDPI, vol. 14(5), pages 1-17, March.
    8. Rabhi, Ayoub & haoudi, amina & Bennagem Touati, Ali, 2021. "The Nexus between Government Intervention and Economic Uncertainty During the COVID-19 Pandemic," MPRA Paper 123862, University Library of Munich, Germany.
    9. Benlagha, Noureddine & Karim, Sitara & Naeem, Muhammad Abubakr & Lucey, Brian M. & Vigne, Samuel A., 2022. "Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries," Energy Economics, Elsevier, vol. 115(C).
    10. Jianchun Fang & Giray Gozgor & Sercan Pekel, 2020. "Where You Export Matters: Measuring Uncertainty in Turkey's Export Markets," CESifo Working Paper Series 8404, CESifo.
    11. Keagile Lesame & Geoffrey Ngene & Rangan Gupta & Elie Bouri, 2022. "Herding in International REITs Markets around the COVID-19 Pandemic," Working Papers 202218, University of Pretoria, Department of Economics.
    12. Jonathan E. Ogbuabor & Ekene ThankGod Emeka & Ngozi H. Chinweuba & Chinasa E. Urama, 2026. "Effects of Resource Rent and Infrastructural Development on Entrepreneurship in Africa: A Study of the Moderating Role of Governance Institutions," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 17(2), pages 4471-4498, April.
    13. Gupta, Rangan & Sheng, Xin & Balcilar, Mehmet & Ji, Qiang, 2021. "Time-varying impact of pandemics on global output growth," Finance Research Letters, Elsevier, vol. 41(C).
    14. Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2021. "How do Artificial Intelligence and Robotics Stocks co-move with traditional and alternative assets in the age of the 4th industrial revolution? Implications and Insights for the COVID-19 period," Technological Forecasting and Social Change, Elsevier, vol. 171(C).
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    44. Ruipeng Liu & Mawuli Segnon & Rangan Gupta & Elie Bouri, 2021. "Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective," Working Papers 202178, University of Pretoria, Department of Economics.
    45. Nasir, Muhammad Ali & Le, Thi Ngoc Lan & Ghabri, Yosra & Huynh, Luu Duc Toan, 2023. "Sovereign bonds and flight to safety: Implications of the COVID-19 crisis for sovereign debt markets in the G-7 and E-7 economies," International Review of Financial Analysis, Elsevier, vol. 86(C).
    46. M. Karanasos & S. Yfanti & J. Hunter, 2022. "Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises," Annals of Operations Research, Springer, vol. 313(2), pages 1077-1116, June.
    47. Valeriu Nalban & Andra Smadu, 2020. "Financial disruptions and heightened uncertainty: a case for timely policy action," Working Papers 687, DNB.
    48. Attílio, Luccas Assis & Mollick, André Varella, 2024. "Assessing the baseline model of WTI oil and stock returns under financial volatility and spillover effects," Energy Economics, Elsevier, vol. 135(C).
    49. Szafranek, Karol & Szafrański, Grzegorz & Leszczyńska-Paczesna, Agnieszka, 2024. "Inflation returns. Revisiting the role of external and domestic shocks with Bayesian structural VAR," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 789-810.
    50. Nalban, Valeriu & Smădu, Andra, 2021. "Asymmetric effects of uncertainty shocks: Normal times and financial disruptions are different," Journal of Macroeconomics, Elsevier, vol. 69(C).
    51. Khalid Usman & Usman Bashir, 2022. "The Effects of Imports and Economic Growth in Chinese Economy: A Granger Causality Approach under VAR Framework," JRFM, MDPI, vol. 15(11), pages 1-14, November.
    52. Tim Kovalenko, 2021. "Uncertainty shocks and employment fluctuations in Germany: the role of establishment size," Working Papers 212, Bavarian Graduate Program in Economics (BGPE).
    53. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2023. "Which COVID-19 information really impacts stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    54. Arigoni, Filippo & Lenarčič, Črt, 2023. "Foreign economic policy uncertainty shocks and real activity in the Euro area," MPRA Paper 120022, University Library of Munich, Germany.
    55. Li, Yanshuang & Shi, Yujie & Shi, Yongdong & Xiong, Xiong & Yi, Shangkun, 2024. "Time-frequency extreme risk spillovers between COVID-19 news-based panic sentiment and stock market volatility in the multi-layer network: Evidence from the RCEP countries," International Review of Financial Analysis, Elsevier, vol. 94(C).
    56. Jiaxin Wu & Jigang Zhang & Hongjuan Yang, 2023. "Sustainable Development of Farmers in Minority Areas after Poverty Alleviation Relocation: Based on an Improved Sustainable Livelihood Analysis Framework," Land, MDPI, vol. 12(5), pages 1-18, May.
    57. Cheng, Tingting & Liu, Junli & Yao, Wenying & Zhao, Albert Bo, 2022. "The impact of COVID-19 pandemic on the volatility connectedness network of global stock market," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    58. Ines Abdelkafi & Sahar Loukil & YossraBen Romdhane, 2023. "Economic Uncertainty During COVID-19 Pandemic in Latin America and Asia," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 14(2), pages 1582-1601, June.
    59. Kizys, Renatas & Tzouvanas, Panagiotis & Donadelli, Michael, 2021. "From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions," International Review of Financial Analysis, Elsevier, vol. 74(C).
    60. Todd Sandler, 2023. "COVID-19 Activities: Publicness and Strategic Concerns," Games, MDPI, vol. 14(1), pages 1-19, January.
    61. Shashank Kathpal & Asif Akhtar & Asma Zaheer & Mohd Naved Khan, 2021. "Covid-19 and heuristic biases: evidence from India," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 26(4), pages 305-316, December.
    62. Afiqah R. Radzi & Rahimi A. Rahman & Saud Almutairi, 2022. "Modeling COVID-19 Impacts and Response Strategies in the Construction Industry: PLS–SEM Approach," IJERPH, MDPI, vol. 19(9), pages 1-25, April.
    63. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning," Working Papers 202111, University of Pretoria, Department of Economics.
    64. Li, Shi & Li, Meng & Fu, Rongsha, 2024. "A sustainable pandemic response: The impact of COVID-19 vaccination coverage on economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 316-332.
    65. Pedro M. Nogueira Reis, 2022. "Determinants of Qualified Investor Sentiment during the COVID-19 Pandemic in North America, Asia, and Europe," Economies, MDPI, vol. 10(6), pages 1-20, June.
    66. Apergis, Nicholas & Mustafa, Ghulam & Malik, Shafaq, 2023. "The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 27-35.
    67. Huynh, Toan Luu Duc & Foglia, Matteo & Nasir, Muhammad Ali & Angelini, Eliana, 2021. "Feverish sentiment and global equity markets during the COVID-19 pandemic," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 1088-1108.
    68. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2020. "Measuring Uncertainty and Its Effects in the COVID-19 Era," Working Papers 20-32R, Federal Reserve Bank of Cleveland, revised 05 Jan 2022.
    69. Zheng Chang & Alex Wei Fung NG & Siying Peng & Dandi Shi, 2024. "Stock price reactions to reopening announcements after China abolished its zero-COVID policy," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 11(1), pages 1-9, December.
    70. Peng-Fei Dai & Xiong Xiong & Zhifeng Liu & Toan Luu Duc Huynh & Jianjun Sun, 2021. "Preventing crash in stock market: The role of economic policy uncertainty during COVID-19," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-15, December.
    71. Afees A. Salisu & Idris A. Adediran & Rangan Gupta, 2021. "A Note on the COVID-19 Shock and Real GDP in Emerging Economies: A Counterfactual Analysis from the Threshold-Augmented Global Vector Autoregressive Model," Working Papers 202149, University of Pretoria, Department of Economics.
    72. Lijun Zhuo & Qian Wu & Hong Le & Hao Li & Ling Zheng & Guoqing Ma & Hongbing Tao, 2021. "COVID-19-Related Intolerance of Uncertainty and Mental Health among Back-To-School Students in Wuhan: The Moderation Effect of Social Support," IJERPH, MDPI, vol. 18(3), pages 1-11, January.
    73. Long, Shaobo & Guo, Jiaqi, 2022. "Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks," Research in International Business and Finance, Elsevier, vol. 62(C).
    74. Xingyuan Yao, 2021. "COVID-19 Pandemic and economic stimulus policy inequality: evidence from quasi-natural experiments," Working Papers 585, ECINEQ, Society for the Study of Economic Inequality.
    75. Mukhtar A. Kassem & Afiqah R. Radzi & Asankha Pradeep & Mohammed Algahtany & Rahimi A. Rahman, 2023. "Impacts and Response Strategies of the COVID-19 Pandemic on the Construction Industry Using Structural Equation Modeling," Sustainability, MDPI, vol. 15(3), pages 1-24, February.
    76. Jalloul, Maya & Miescu, Mirela, 2023. "Equity market connectedness across regimes of geopolitical risks: Historical evidence and theory," Journal of International Money and Finance, Elsevier, vol. 137(C).
    77. Berthold, Brendan, 2023. "The macroeconomic effects of uncertainty and risk aversion shocks," European Economic Review, Elsevier, vol. 154(C).
    78. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2022. "The impact and role of COVID-19 uncertainty: A global industry analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
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    81. Iglesias, Emma M., 2022. "The influence of extreme events such as Brexit and Covid-19 on equity markets," Journal of Policy Modeling, Elsevier, vol. 44(2), pages 418-430.
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  17. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.

    Cited by:

    1. Johnson Worlanyo Ahiadorme, 2022. "On the aggregate effects of global uncertainty: Evidence from an emerging economy," South African Journal of Economics, Economic Society of South Africa, vol. 90(3), pages 390-407, September.
    2. Aymeric Ortmans & Fabien Tripier, 2020. "COVID-Induced Sovereign Risk in the Euro Area: When Did the ECB Stop the Contagion?," Working Papers 2020-11, CEPII research center.
    3. Soroosh Soofi-Siavash & Emanuel Moench, 2021. "What Moves Treasury Yields?," Bank of Lithuania Working Paper Series 88, Bank of Lithuania.
    4. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    5. Ortmans, Aymeric & Tripier, Fabien, 2021. "COVID-induced sovereign risk in the euro area: When did the ECB stop the spread?," European Economic Review, Elsevier, vol. 137(C).
    6. Miguel Ángel Echarte Fernández & Sergio Luis Náñez Alonso & Javier Jorge-Vázquez & Ricardo Francisco Reier Forradellas, 2021. "Central Banks’ Monetary Policy in the Face of the COVID-19 Economic Crisis: Monetary Stimulus and the Emergence of CBDCs," Sustainability, MDPI, vol. 13(8), pages 1-18, April.
    7. Qilong Zhang & Yaobo Shi & Xinxin Zhao & Jinghao Yang, 2025. "Climate vulnerability, macroprudential policy, and financial risk," Risk Management, Palgrave Macmillan, vol. 27(4), pages 1-24, December.
    8. Wen, Jun & Zhao, Xinxin & Fu, Qiang & Chang, Chun-Ping, 2023. "The impact of financial risk on green innovation: Global evidence," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    9. Shang, Fei, 2022. "The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    10. Jamie L. Cross & Lennart Hoogerheide & Paul Labonne & Herman K. van Dijk, 2023. "Bayesian Mode Inference for Discrete Distributions in Economics and Finance," Working Papers No 11/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.

  18. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," Melbourne Institute Working Paper Series wp2019n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.

    Cited by:

    1. Giovanni Caggiano & Efrem Castelnuovo & Silvia Delrio & Richard Kima, 2020. "Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly," CESifo Working Paper Series 8426, CESifo.
    2. Tamgac, Unay, 2021. "Emerging market exchange rates during quantitative tapering: The effect of US and domestic news," Research in International Business and Finance, Elsevier, vol. 57(C).
    3. Jamie L. Cross & Bao H. Nguyen & Trung Duc Tran, 2022. "The role of precautionary and speculative demand in the global market for crude oil," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 882-895, August.
    4. Freund, L. B & Rendahl, P., 2020. "Unexpected Effects: Uncertainty, Unemployment, and Inflation," Cambridge Working Papers in Economics 2035, Faculty of Economics, University of Cambridge.
    5. Shovon Sengupta & Sunny Kumar Singh & Tanujit Chakraborty, 2025. "Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks," Papers 2510.23347, arXiv.org.
    6. Haque, Qazi & Magnusson, Leandro M., 2021. "Uncertainty shocks and inflation dynamics in the U.S," Economics Letters, Elsevier, vol. 202(C).
    7. Oscar Claveria, 2021. "Disagreement on expectations: firms versus consumers," SN Business & Economics, Springer, vol. 1(12), pages 1-23, December.
    8. Todd Potts & Jennifer Roy, 2025. "The heterogeneous impact of uncertainty shocks on labour market outcomes for men and women," Applied Economics, Taylor & Francis Journals, vol. 57(50), pages 8327-8345, October.
    9. Burdekin, Richard C.K. & Siklos, Pierre L., 2022. "Armageddon and the stock market: US, Canadian and Mexican market responses to the 1962 Cuban Missile Crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 112-127.
    10. Gabriel Arce‐Alfaro & Boris Blagov, 2023. "Monetary Policy Uncertainty and Inflation Expectations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 70-94, February.
    11. Stefan Schiman & Atanas Pekanov, 2020. "Uncertainty in the Euro Area During the First Wave of the COVID-19 Pandemic," WIFO Studies, WIFO, number 66708.
    12. Christina Christou & David Gabauer & Rangan Gupta, 2019. "Time-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the United Kingdom: Evidence from Over 150 Years of Monthly Data," Working Papers 201962, University of Pretoria, Department of Economics.
    13. Cross, James L. & Nguyen, Bao H. & Tran, Trung Duc, 2020. "The role of precautionary and speculative demand in the global market for crude oil," Working Papers 2020-02, University of Tasmania, Tasmanian School of Business and Economics.
    14. Lukas Freund & Hanbaek Lee & Pontus Rendahl, 2023. "The Risk-Premium Channel of Uncertainty: Implications for Unemployment and Inflation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 117-137, December.
    15. Benjamin Born & Johannes Pfeifer, 2021. "Uncertainty‐driven business cycles: Assessing the markup channel," Quantitative Economics, Econometric Society, vol. 12(2), pages 587-623, May.
    16. Costantini, Mauro & Sousa, Ricardo M., 2022. "What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality," Journal of International Money and Finance, Elsevier, vol. 122(C).
    17. Caggiano, Giovanni & Castelnuovo, Efrem & Kima, Richard, 2020. "The global effects of Covid-19-induced uncertainty," Economics Letters, Elsevier, vol. 194(C).
    18. Claveria, Oscar, 2022. "Global economic uncertainty and suicide: Worldwide evidence," Social Science & Medicine, Elsevier, vol. 305(C).
    19. Dibiasi, Andreas & Sarferaz, Samad, 2023. "Measuring macroeconomic uncertainty: A cross-country analysis," European Economic Review, Elsevier, vol. 153(C).
    20. Oh, Joonseok & Rogantini Picco, Anna, 2020. "Macro Uncertainty and Unemployment Risk," Working Paper Series 395, Sveriges Riksbank (Central Bank of Sweden).
    21. Oscar Claveria, 2021. "On the Aggregation of Survey-Based Economic Uncertainty Indicators Between Different Agents and Across Variables," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 1-26, April.
    22. Andreas Dibiasi & David Iselin, 2021. "Measuring Knightian uncertainty," Empirical Economics, Springer, vol. 61(4), pages 2113-2141, October.
    23. Gächter, Martin & Geiger, Martin & Stöckl, Sebastian, 2020. "Credit intermediation and the transmission of macro-financial uncertainty: International evidence," Journal of International Money and Finance, Elsevier, vol. 108(C).
    24. Crespo Cuaresma, Jesús & Huber, Florian & Onorante, Luca, 2020. "Fragility and the effect of international uncertainty shocks," Journal of International Money and Finance, Elsevier, vol. 108(C).
    25. Carriero, Andrea & Marcellino, Massimiliano & Tornese, Tommaso, 2023. "Macro uncertainty in the long run," Economics Letters, Elsevier, vol. 225(C).
    26. Qazi Haque & Leandro M. Magnusson & Kazuki Tomioka, 2021. "Empirical Evidence on the Dynamics of Investment Under Uncertainty in the U.S," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1193-1217, October.
    27. Eiji Ogawa & Pengfei Luo, 2024. "Macroeconomic effects of global policy and financial risks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 177-205, January.
    28. Monique Reid & Pierre Siklos, 2020. "Building Credibility and Influencing Expectations The Evolution of Central Bank Communication," Working Papers 10144, South African Reserve Bank.
    29. Shen, Yifan & He, Jia & Shi, Xunpeng & Zeng, Ting, 2025. "Uncertainty, macroeconomic activity and commodity price: A global analysis," International Review of Financial Analysis, Elsevier, vol. 101(C).
    30. Patricia Toledo & Roberto Duncan, 2024. "Forecasting food price inflation during global crises," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 1087-1113, July.
    31. Christian Grimme & Steffen Henzel, 2020. "Increasing Business Uncertainty and Credit Conditions in Times of Low and High Uncertainty: Evidence from Firm-Level Survey Data," CESifo Working Paper Series 8791, CESifo.
    32. Rivolta, Giulia & Trecroci, Carmine, 2020. "Measuring the effects of U.S. uncertainty and monetary conditions on EMEs' macroeconomic dynamics," MPRA Paper 99403, University Library of Munich, Germany.

  19. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Melbourne Institute Working Paper Series wp2019n05, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.

    Cited by:

    1. Johnson Worlanyo Ahiadorme, 2022. "On the aggregate effects of global uncertainty: Evidence from an emerging economy," South African Journal of Economics, Economic Society of South Africa, vol. 90(3), pages 390-407, September.
    2. Aymeric Ortmans & Fabien Tripier, 2020. "COVID-Induced Sovereign Risk in the Euro Area: When Did the ECB Stop the Contagion?," Working Papers 2020-11, CEPII research center.
    3. Soroosh Soofi-Siavash & Emanuel Moench, 2021. "What Moves Treasury Yields?," Bank of Lithuania Working Paper Series 88, Bank of Lithuania.
    4. Ortmans, Aymeric & Tripier, Fabien, 2021. "COVID-induced sovereign risk in the euro area: When did the ECB stop the spread?," European Economic Review, Elsevier, vol. 137(C).
    5. Miguel Ángel Echarte Fernández & Sergio Luis Náñez Alonso & Javier Jorge-Vázquez & Ricardo Francisco Reier Forradellas, 2021. "Central Banks’ Monetary Policy in the Face of the COVID-19 Economic Crisis: Monetary Stimulus and the Emergence of CBDCs," Sustainability, MDPI, vol. 13(8), pages 1-18, April.
    6. Qilong Zhang & Yaobo Shi & Xinxin Zhao & Jinghao Yang, 2025. "Climate vulnerability, macroprudential policy, and financial risk," Risk Management, Palgrave Macmillan, vol. 27(4), pages 1-24, December.
    7. Wen, Jun & Zhao, Xinxin & Fu, Qiang & Chang, Chun-Ping, 2023. "The impact of financial risk on green innovation: Global evidence," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    8. Shang, Fei, 2022. "The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).

  20. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," CESifo Working Paper Series 7900, CESifo.

    Cited by:

    1. Giovanni Caggiano & Efrem Castelnuovo & Silvia Delrio & Richard Kima, 2020. "Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly," CESifo Working Paper Series 8426, CESifo.
    2. Tamgac, Unay, 2021. "Emerging market exchange rates during quantitative tapering: The effect of US and domestic news," Research in International Business and Finance, Elsevier, vol. 57(C).
    3. Jamie L. Cross & Bao H. Nguyen & Trung Duc Tran, 2022. "The role of precautionary and speculative demand in the global market for crude oil," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 882-895, August.
    4. Freund, L. B & Rendahl, P., 2020. "Unexpected Effects: Uncertainty, Unemployment, and Inflation," Cambridge Working Papers in Economics 2035, Faculty of Economics, University of Cambridge.
    5. Shovon Sengupta & Sunny Kumar Singh & Tanujit Chakraborty, 2025. "Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks," Papers 2510.23347, arXiv.org.
    6. Haque, Qazi & Magnusson, Leandro M., 2021. "Uncertainty shocks and inflation dynamics in the U.S," Economics Letters, Elsevier, vol. 202(C).
    7. Oscar Claveria, 2021. "Disagreement on expectations: firms versus consumers," SN Business & Economics, Springer, vol. 1(12), pages 1-23, December.
    8. Todd Potts & Jennifer Roy, 2025. "The heterogeneous impact of uncertainty shocks on labour market outcomes for men and women," Applied Economics, Taylor & Francis Journals, vol. 57(50), pages 8327-8345, October.
    9. Burdekin, Richard C.K. & Siklos, Pierre L., 2022. "Armageddon and the stock market: US, Canadian and Mexican market responses to the 1962 Cuban Missile Crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 112-127.
    10. Gabriel Arce‐Alfaro & Boris Blagov, 2023. "Monetary Policy Uncertainty and Inflation Expectations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 70-94, February.
    11. Stefan Schiman & Atanas Pekanov, 2020. "Uncertainty in the Euro Area During the First Wave of the COVID-19 Pandemic," WIFO Studies, WIFO, number 66708.
    12. Christina Christou & David Gabauer & Rangan Gupta, 2019. "Time-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the United Kingdom: Evidence from Over 150 Years of Monthly Data," Working Papers 201962, University of Pretoria, Department of Economics.
    13. Cross, James L. & Nguyen, Bao H. & Tran, Trung Duc, 2020. "The role of precautionary and speculative demand in the global market for crude oil," Working Papers 2020-02, University of Tasmania, Tasmanian School of Business and Economics.
    14. Lukas Freund & Hanbaek Lee & Pontus Rendahl, 2023. "The Risk-Premium Channel of Uncertainty: Implications for Unemployment and Inflation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 117-137, December.
    15. Benjamin Born & Johannes Pfeifer, 2021. "Uncertainty‐driven business cycles: Assessing the markup channel," Quantitative Economics, Econometric Society, vol. 12(2), pages 587-623, May.
    16. Costantini, Mauro & Sousa, Ricardo M., 2022. "What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality," Journal of International Money and Finance, Elsevier, vol. 122(C).
    17. Caggiano, Giovanni & Castelnuovo, Efrem & Kima, Richard, 2020. "The global effects of Covid-19-induced uncertainty," Economics Letters, Elsevier, vol. 194(C).
    18. Claveria, Oscar, 2022. "Global economic uncertainty and suicide: Worldwide evidence," Social Science & Medicine, Elsevier, vol. 305(C).
    19. Dibiasi, Andreas & Sarferaz, Samad, 2023. "Measuring macroeconomic uncertainty: A cross-country analysis," European Economic Review, Elsevier, vol. 153(C).
    20. Oh, Joonseok & Rogantini Picco, Anna, 2020. "Macro Uncertainty and Unemployment Risk," Working Paper Series 395, Sveriges Riksbank (Central Bank of Sweden).
    21. Oscar Claveria, 2021. "On the Aggregation of Survey-Based Economic Uncertainty Indicators Between Different Agents and Across Variables," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 1-26, April.
    22. Andreas Dibiasi & David Iselin, 2021. "Measuring Knightian uncertainty," Empirical Economics, Springer, vol. 61(4), pages 2113-2141, October.
    23. Gächter, Martin & Geiger, Martin & Stöckl, Sebastian, 2020. "Credit intermediation and the transmission of macro-financial uncertainty: International evidence," Journal of International Money and Finance, Elsevier, vol. 108(C).
    24. Crespo Cuaresma, Jesús & Huber, Florian & Onorante, Luca, 2020. "Fragility and the effect of international uncertainty shocks," Journal of International Money and Finance, Elsevier, vol. 108(C).
    25. Carriero, Andrea & Marcellino, Massimiliano & Tornese, Tommaso, 2023. "Macro uncertainty in the long run," Economics Letters, Elsevier, vol. 225(C).
    26. Qazi Haque & Leandro M. Magnusson & Kazuki Tomioka, 2021. "Empirical Evidence on the Dynamics of Investment Under Uncertainty in the U.S," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1193-1217, October.
    27. Eiji Ogawa & Pengfei Luo, 2024. "Macroeconomic effects of global policy and financial risks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 177-205, January.
    28. Monique Reid & Pierre Siklos, 2020. "Building Credibility and Influencing Expectations The Evolution of Central Bank Communication," Working Papers 10144, South African Reserve Bank.
    29. Shen, Yifan & He, Jia & Shi, Xunpeng & Zeng, Ting, 2025. "Uncertainty, macroeconomic activity and commodity price: A global analysis," International Review of Financial Analysis, Elsevier, vol. 101(C).
    30. Patricia Toledo & Roberto Duncan, 2024. "Forecasting food price inflation during global crises," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 1087-1113, July.
    31. Christian Grimme & Steffen Henzel, 2020. "Increasing Business Uncertainty and Credit Conditions in Times of Low and High Uncertainty: Evidence from Firm-Level Survey Data," CESifo Working Paper Series 8791, CESifo.
    32. Florian Huber & Massimiliano Marcellino & Tommaso Tornese, 2024. "The Distributional Effects of Economic Uncertainty," Papers 2411.12655, arXiv.org.
    33. Rivolta, Giulia & Trecroci, Carmine, 2020. "Measuring the effects of U.S. uncertainty and monetary conditions on EMEs' macroeconomic dynamics," MPRA Paper 99403, University Library of Munich, Germany.

  21. Giovanni Caggiano & Efrem Castelnuovo & Olivier Damette & Antoine Parent & Giovanni Pellegrino, 2018. "Liquidity Traps and Large-Scale Financial Crises," CESifo Working Paper Series 7096, CESifo.

    Cited by:

    1. Le Riche, Antoine & Magris, Francesco & Parent, Antoine, 2017. "Liquidity Trap and stability of Taylor rules," Mathematical Social Sciences, Elsevier, vol. 88(C), pages 16-27.

  22. Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," CESifo Working Paper Series 7086, CESifo.

    Cited by:

    1. Maksim Isakin & Phuong V. Ngo, 2020. "Variance Decomposition Analysis for Nonlinear Economic Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1362-1374, December.
    2. Laurent Ferrara & ISTREFI, K., 2016. "Impact des chocs d’incertitude sur l’économie mondiale – Synthèse de conférence," Bulletin de la Banque de France, Banque de France, issue 206, pages 61-68.
    3. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2021. "Uncertainty shocks and the great recession: Nonlinearities matter," Economics Letters, Elsevier, vol. 198(C).
    4. Rangan Gupta & Chi Keung Marco Lau & Mark E. Wohar, 2016. "The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model," Working Papers 201681, University of Pretoria, Department of Economics.
    5. Xiaojing Xu, 2024. "RETRACTED ARTICLE: Examining the impact of global uncertainty shocks on the digital economy's role in China's energy transition and green economic recovery," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-25, April.
    6. Kushal Banik Chowdhury, 2024. "Relationships between inflation, output growth, and uncertainty in the era of inflation stabilization: a multicountry study," Empirical Economics, Springer, vol. 66(2), pages 623-650, February.
    7. Stilianos Fountas & Dimitra Kontana & Paraskevi Tzika, 2024. "Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents," Empirical Economics, Springer, vol. 67(5), pages 1891-1918, November.
    8. Czudaj, Robert L., 2023. "Expectation Formation and the Phillips Curve Revisited," MPRA Paper 119478, University Library of Munich, Germany.
    9. Mohammadreza Mahmoudi, 2023. "Examining the Effect of Monetary Policy and Monetary Policy Uncertainty on Cryptocurrencies Market," Papers 2311.10739, arXiv.org.
    10. Wang, Yilei & Cheng, Sheng & Cao, Yan, 2022. "How does economic policy uncertainty respond to the global oil price fluctuations? Evidence from BRICS countries," Resources Policy, Elsevier, vol. 79(C).
    11. Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2021. "Multimodality In Macrofinancial Dynamics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 861-886, May.
    12. Tan, Sook-Rei & Yeap, Xiu Wei & Li, Changtai & Wang, Wei-Siang & Chia, Wai-Mun, 2024. "Determinants of international Economic Policy Uncertainty transmission: The role of economic openness," International Review of Economics & Finance, Elsevier, vol. 95(C).
    13. Salah A. Nusair, 2025. "Economic policy uncertainty and industrial output in the G7 countries: an asymmetric analysis," Economic Change and Restructuring, Springer, vol. 58(5), pages 1-40, October.
    14. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2020. "Revising the Impact of Financial and Non-Financial Global Stock Market Volatility Shocks," MPRA Paper 103019, University Library of Munich, Germany.
    15. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Aygun, Gurcan & Wohar, Mark E., 2022. "The macroeconomic impact of economic uncertainty and financial shocks under low and high financial stress," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    16. Lean, Hooi Hooi & Alkhazali, Osamah M. & Gleason, Kimberley & Yeap, Xiu Wei, 2024. "Connectedness and economic policy uncertainty spillovers to the ASEAN stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 167-186.
    17. Huang, Ying Sophie & Wu, Jiajia & Guo, Feng, 2022. "Venture capital staging under economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 572-596.
    18. Hu, Chunyang & Zhou, Yang, 2025. "Do domestic and US economic policy uncertainty increase China’s macro-financial risk connectedness?," Research in International Business and Finance, Elsevier, vol. 80(C).
    19. Giovanni Caggiano & Efrem Castelnuovo, 2023. "Global financial uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 432-449, April.
    20. Jamie L. Cross & Chenghan Hou & Aubrey Poon, 2018. "International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach," Working Papers No 12/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    21. Paraskevi Tzika & Stilianos Fountas, 2021. "Economic policy uncertainty spillovers in Europe before and after the Eurozone crisis," Manchester School, University of Manchester, vol. 89(4), pages 330-352, July.
    22. Todd Potts & Jennifer Roy, 2025. "The heterogeneous impact of uncertainty shocks on labour market outcomes for men and women," Applied Economics, Taylor & Francis Journals, vol. 57(50), pages 8327-8345, October.
    23. OlaOluwa S. Yaya & Nurudeen Abu & Tayo P. Ogundunmade, 2021. "Economic policy uncertainty in G7 countries: evidence of long-range dependence and cointegration," Economic Change and Restructuring, Springer, vol. 54(2), pages 541-556, May.
    24. Gillmann, Niels & Okhrin, Ostap, 2025. "Adaptive local VAR for dynamic economic policy uncertainty spillover," Economic Modelling, Elsevier, vol. 148(C).
    25. Corinna Ghirelli & Javier J. Pérez & Alberto Urtasun, 2020. "Economic policy uncertainty in Latin America: measurement using Spanish newspapers and economic spillovers," Working Papers 2024, Banco de España.
    26. Nikolaos Antonakakis & David Gabauer & Rangan Gupta, 2018. "Greek Economic Policy Uncertainty: Does it Matter for the European Union?," Working Papers 201840, University of Pretoria, Department of Economics.
    27. Thomas F. P. Wiesen & Paul M. Beaumont, 2024. "A joint impulse response function for vector autoregressive models," Empirical Economics, Springer, vol. 66(4), pages 1553-1585, April.
    28. Niels Gillmann, 2026. "A Global Network of Economic Policy Uncertainty Spillovers," Open Economies Review, Springer, vol. 37(1), pages 27-62, March.
    29. Anindya Sen & Dennis Wesselbaum, 2023. "On the International Spillover Effects of Uncertainty," Open Economies Review, Springer, vol. 34(3), pages 541-554, July.
    30. Ghirelli, Corinna & Pérez, Javier J. & Urtasun, Alberto, 2021. "The spillover effects of economic policy uncertainty in Latin America on the Spanish economy," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(2).
    31. Canales, Mario & Lopez-Martin, Bernabe, 2024. "Exchange rates, uncertainty, and price-setting: Evidence from CPI microdata," Economic Modelling, Elsevier, vol. 139(C).
    32. Meng Yan & Kai Shi, 2024. "Revisiting the Impact of US Uncertainty Shocks: New Evidence from China’s Investment Dynamics," Open Economies Review, Springer, vol. 35(3), pages 457-495, July.
    33. Thiem, Christopher, 2018. "Cross-category spillovers of economic policy uncertainty," Ruhr Economic Papers 744, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    34. Niels Gillmann & Ostap Okhrin, 2023. "Adaptive local VAR for dynamic economic policy uncertainty spillover," Papers 2302.02808, arXiv.org.
    35. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    36. Arigoni, Filippo & Lenarčič, Črt, 2020. "The impact of trade policy uncertainty shocks on the Euro Area," MPRA Paper 100832, University Library of Munich, Germany.
    37. Brandt, Richard, 2021. "Economic Policy Uncertainty Index: Extension and optimization of Scott R. Baker, Nicholas Bloom and Steven J. Davis's search term," DoCMA Working Papers 5, TU Dortmund University, Dortmund Center for Data-based Media Analysis (DoCMA).
    38. Ozili, Peterson K, 2022. "Sources of Economic Policy Uncertainty in Nigeria: Implications for Africa," MPRA Paper 112075, University Library of Munich, Germany.
    39. Emanuele Bacchiocchi & Catalin Dragomirescu-Gaina, 2022. "Uncertainty spill-overs: when policy and financial realms overlap," Working Papers wp1174, Dipartimento Scienze Economiche, Universita' di Bologna.
    40. Ran Huang & Shuhang Guo & Qi Zhou & Yaqi Zhao, 2025. "Tail-risk contagion across key industrial chains of China," Empirical Economics, Springer, vol. 68(5), pages 2119-2158, May.
    41. Horvath, Jaroslav & Zhong, Jiansheng, 2019. "Unemployment dynamics in emerging countries: Monetary policy and external shocks," Economic Modelling, Elsevier, vol. 76(C), pages 31-49.
    42. Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2025. "The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-22, December.
    43. Fan, Zhiguo & Guo, Fenghua & ChenBian,, 2025. "Global uncertainty, macroprudence and export value: "Quality up" or "quantity up"," International Review of Economics & Finance, Elsevier, vol. 99(C).
    44. Mufang Xie, 2025. "Economic policy uncertainty and credit risk in microfinance: A cross‐country analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(2), pages 1969-1985, April.
    45. Nguyen, Thanh Cong, 2022. "Economic policy uncertainty: The probability and duration of economic recessions in major European Union countries," Research in International Business and Finance, Elsevier, vol. 62(C).
    46. Wang, Qi & Weng, Chen, 2024. "Two-way risk: Trade policy uncertainty and inflation in the United States and China," Finance Research Letters, Elsevier, vol. 62(PA).
    47. Zeqiraj, Veton & Gurdgiev, Constantin & Sohag, Kazi & Hammoudeh, Shawkat, 2024. "Economic uncertainty, public debt and non-performing loans in the Eurozone: Three systemic crises," International Review of Financial Analysis, Elsevier, vol. 93(C).
    48. Stefano Fasani & Haroon Mumtaz & Lorenza Rossi, 2023. "Monetary Policy and Firm Dynamics," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 47, pages 278-296, January.
    49. Afees A. Salisu & Rangan Gupta & Riza Demirer, 2021. "The Financial US Uncertainty Spillover Multiplier: Evidence from a GVAR Model," Working Papers 202145, University of Pretoria, Department of Economics.
    50. Efrem Castelnuovo & Guay C. Lim, 2018. "What Do We Know about the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers," CESifo Working Paper Series 7366, CESifo.
    51. Shah, Adil Ahmad & Dar, Arif Billah & Bhanumurthy, N.R., 2021. "Are precious metals and equities immune to monetary and fiscal policy uncertainties?," Resources Policy, Elsevier, vol. 74(C).
    52. Nikolaos Antonakakis & David Gabauer & Rangan Gupta & Vasilios Plakandaras, 2018. "Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach," Working Papers 201802, University of Pretoria, Department of Economics.
    53. Christian Pierdzioch & Rangan Gupta, 2017. "Uncertainty and Forecasts of U.S. Recessions," Working Papers 201732, University of Pretoria, Department of Economics.
    54. Liang, Chin Chia & Troy, Carol & Rouyer, Ellen, 2020. "U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    55. Salah A. Nusair & Dennis Olson, 2026. "The Asymmetric Effects of Economic Policy Uncertainty Changes on Unemployment in the G7 Countries," Open Economies Review, Springer, vol. 37(1), pages 63-114, March.
    56. Arigoni, Filippo & Lenarčič, Črt, 2023. "Foreign economic policy uncertainty shocks and real activity in the Euro area," MPRA Paper 120022, University Library of Munich, Germany.
    57. Abakah, Emmanuel Joel Aikins & Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko, 2021. "Economic policy uncertainty: Persistence and cross-country linkages," Research in International Business and Finance, Elsevier, vol. 58(C).
    58. Youngju Kim & Hyunjoon Lim, 2018. "Which External Shock Matters in Small Open Economies? US Economic Policy Uncertainty vs. Global Risk Aversion," Working Papers 2018-29, Economic Research Institute, Bank of Korea.
    59. Fontaine, Idriss & Didier, Laurent & Razafindravaosolonirina, Justinien, 2017. "Foreign policy uncertainty shocks and US macroeconomic activity: Evidence from China," Economics Letters, Elsevier, vol. 155(C), pages 121-125.
    60. Rangan Gupta & Chi Keung Marco Lau & Jacobus A Nel & Xin Sheng, 2020. "Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains," Working Papers 202005, University of Pretoria, Department of Economics.
    61. Charles Mawusi & Mohamed Abdallah & Mazhar Mughal, 2022. "Does Economic Uncertainty Foster Migrant Remittances? A Macro-Perspective from 53 Developing Countries," Working Papers hal-03725386, HAL.
    62. Tangyong Liu & Xu Gong & Lizhi Tang, 2022. "The uncertainty spillovers of China's economic policy: Evidence from time and frequency domains," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4541-4555, October.
    63. Giovanni Pellegrino & Federico Ravenna & Gabriel Züllig, 2021. "The Impact of Pessimistic Expectations on the Effects of COVID‐19‐Induced Uncertainty in the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 841-869, August.
    64. Gupta, Rangan & Ma, Jun & Risse, Marian & Wohar, Mark E., 2018. "Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 317-337.
    65. Mario Canales & Bernabe Lopez-Martin, 2021. "Uncertainty, Risk, and Price-Setting: Evidence from CPI Microdata," Working Papers Central Bank of Chile 908, Central Bank of Chile.
    66. Baxa, Jaromír & Šestořád, Tomáš, 2025. "Common and country-specific uncertainty shocks in europe: Why their nature matters for policy," Economic Modelling, Elsevier, vol. 150(C).
    67. Kai‐Hua Wang & Zu‐Shan Wang & Hong‐Wen Liu & Xin Li, 2023. "Economic policy uncertainty and geopolitical risk: evidence from China and Southeast Asia," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 37(2), pages 96-118, November.
    68. Beckmann, Joscha & Davidson, Sharada Nia & Koop, Gary & Schüssler, Rainer, 2023. "Cross-country uncertainty spillovers: Evidence from international survey data," Journal of International Money and Finance, Elsevier, vol. 130(C).
    69. Kundan Kumar & Rajendra Narayan Paramanik & Anoop S. Kumar, 2023. "Nexus among Indian business cycle–financial cycle and Policy Uncertainty Index," SN Business & Economics, Springer, vol. 3(12), pages 1-19, December.
    70. Muhammet Daştan & Kerem Karabulut & Ömer Yalçınkaya, 2024. "The time-varying impacts of global economic policy uncertainty on macroeconomic activity in a small open economy: the case of Turkey," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(2), pages 275-311, May.
    71. Marfatia, Hardik & Zhao, Wan-Li & Ji, Qiang, 2020. "Uncovering the global network of economic policy uncertainty," Research in International Business and Finance, Elsevier, vol. 53(C).
    72. Demir, Ender & Ersan, Oguz, 2017. "Economic policy uncertainty and cash holdings: Evidence from BRIC countries," Emerging Markets Review, Elsevier, vol. 33(C), pages 189-200.
    73. Antonakakis, Nikolaos & Gabauer, David & Gupta, Rangan, 2019. "Greek economic policy uncertainty: Does it matter for Europe? Evidence from a dynamic connectedness decomposition approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    74. Aswini Kumar Mishra & Anand Theertha Nakhate & Yash Bagra & Abinash Singh & Bibhu Prasad Kar, 2024. "The Impact of Directional Global Economic Policy Uncertainty on Indian Stock Market Volatility: New Evidence," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(3), pages 423-452, September.
    75. Angus Moore, 2017. "Measuring Economic Uncertainty and Its Effects," The Economic Record, The Economic Society of Australia, vol. 93(303), pages 550-575, December.
    76. Burkhard Raunig, 2023. "Using causal graphs to test for the direction of instantaneous causality between economic policy uncertainty and stock market volatility," Empirical Economics, Springer, vol. 65(4), pages 1579-1598, October.
    77. Fadekemi Chidinma Adeloye & Olayinka Olawoyin & Chinaemerem Daniel, 2024. "Economic Policy Uncertainty and Financial Markets in the United State," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 8(6), pages 998-1016, June.
    78. Hawach, Fadi & Requejo, Ignacio, 2025. "Financial distress likelihood of European SMEs in times of economic policy uncertainty: The role of family ownership and performance aspirations," International Review of Financial Analysis, Elsevier, vol. 105(C).
    79. Xiao, Jihong & Wang, Yudong, 2021. "Investor attention and oil market volatility: Does economic policy uncertainty matter?," Energy Economics, Elsevier, vol. 97(C).
    80. Batabyal, Sourav & Killins, Robert, 2021. "Economic policy uncertainty and stock market returns: Evidence from Canada," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    81. Fontaine, Idriss & Razafindravaosolonirina, Justinien & Didier, Laurent, 2018. "Chinese policy uncertainty shocks and the world macroeconomy: Evidence from STVAR," China Economic Review, Elsevier, vol. 51(C), pages 1-19.
    82. Joshy Easaw & Christian Grimme, 2021. "The Impact of Aggregate Uncertainty on Firm-Level Uncertainty," CESifo Working Paper Series 8934, CESifo.
    83. Tran Thi Mai Thanh & To Ngoc Lan, 2025. "Spillover Effects of Foreign Policy Uncertainty and their Impact on FDI Inflows in Asia–Pacific: A Panel Quantile Approach," Economics, Paradigm, vol. 13(4), pages 293-312.
    84. Tosapol Apaitan & Pongsak Luangaram & Pym Manopimoke, 2022. "Uncertainty in an emerging market economy: evidence from Thailand," Empirical Economics, Springer, vol. 62(3), pages 933-989, March.
    85. Gabauer, David & Gupta, Rangan, 2018. "On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach," Economics Letters, Elsevier, vol. 171(C), pages 63-71.
    86. Maghyereh, Aktham & Awartani, Basel & Abdoh, Hussein, 2022. "Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
    87. Christina Christou & Giray Gozgor & Rangan Gupta & Chi-Keung (Marco) Lau, 2019. "Are Uncertainties across the World Convergent?," Working Papers 201907, University of Pretoria, Department of Economics.
    88. Kim, Youngju & Lim, Hyunjoon & Sohn, Wook, 2020. "Which external shock matters in small open economies? Global risk aversion vs. US economic policy uncertainty," Japan and the World Economy, Elsevier, vol. 54(C).
    89. Chandan Sharma & Rupika Khanna, 2024. "Risk, Uncertainty and Exporting: Evidence from a Developing Economy," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(1), pages 151-177, March.
    90. MAWUSI, Charles, 2020. "Economic Uncertainty and Remittances Flow: Heterogeneity Matters," MPRA Paper 103097, University Library of Munich, Germany.
    91. Beckmann, Joscha & Rogmann, Jennifer, 2024. "Determinants and effects of country ESG controversy," Energy Economics, Elsevier, vol. 131(C).
    92. Killins, Robert N. & Ngo, Thanh & Wang, Hongxia, 2022. "Politics and equity markets: Evidence from Canada," Journal of Multinational Financial Management, Elsevier, vol. 63(C).
    93. Arigoni, Filippo & Breznikar, Miha & Lenarčič, Črt & Maletič, Matjaž, 2020. "Impact of fiscal measures in response to the COVID-19 pandemic on small-open economies: lessons from Slovenia," MPRA Paper 104474, University Library of Munich, Germany.
    94. Tang, Wenjin & Ding, Saijie & Chen, Hao, 2021. "Economic uncertainty and its spillover networks: Evidence from the Asia-Pacific countries," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    95. Corinna Ghirelli & María Gil & Javier J. Pérez & Alberto Urtasun, 2021. "Measuring economic and economic policy uncertainty and their macroeconomic effects: the case of Spain," Empirical Economics, Springer, vol. 60(2), pages 869-892, February.
    96. Graziano Moramarco, 2022. "Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers," Econometrics, MDPI, vol. 11(1), pages 1-29, December.
    97. Mistak, Jakub & Ozkan, F. Gulcin, 2024. "Asymmetric monetary policy spillovers: the role of supply chains, credit networks and fear of floating," Working Paper Series 2995, European Central Bank.
    98. Rangan Gupta & Godwin Olasehinde-Williams & Mark E. Wohar, 2018. "The Impact of US Uncertainty Shocks on a Panel of Advanced and Emerging Market Economies: The Role of Exchange Rate, Trade and Financial Channels," Working Papers 201857, University of Pretoria, Department of Economics.
    99. Angelini Giovanni & Costantini Mauro & Easaw Joshy, 2024. "Estimating uncertainty spillover effects across euro area using a regime dependent VAR model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(1), pages 39-59, February.
    100. Rivolta, Giulia & Trecroci, Carmine, 2020. "Measuring the effects of U.S. uncertainty and monetary conditions on EMEs' macroeconomic dynamics," MPRA Paper 99403, University Library of Munich, Germany.
    101. OlaOluwa S. Yaya & Hammed A. Olayinka & Ahamuefula E. Ogbonna & Mamdouh Abdulaziz Saleh Al-Faryan & Xuan Vinh Vo, 2024. "Dynamic connectedness of economic policy uncertainty in G7 countries and the influence of the USA and UK on non-G7 countries," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-27, April.

  23. Efrem Castelnuovo & Guay C. Lim, 2018. "What Do We Know about the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers," CESifo Working Paper Series 7366, CESifo.

    Cited by:

    1. Karamysheva, Madina & Skrobotov, Anton, 2022. "Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations," Journal of Economic Dynamics and Control, Elsevier, vol. 138(C).
    2. António Afonso & Eduardo de Sá Fortes Leitão Rodrigues, 2022. "Is public investment in construction and in R&D, growth enhancing? A PVAR Approach," Working Papers REM 2022/0249, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    3. Beetsma, Roel & Cimadomo, Jacopo & van Spronsen, Josha, 2024. "One scheme fits all: A central fiscal capacity for the EMU targeting eurozone, national and regional shocks," European Economic Review, Elsevier, vol. 165(C).
    4. Francesco Zezza & Dario Guarascio, 2024. "Fiscal policy, public investment and structural change: a P-SVAR analysis on Italian regions," Regional Studies, Taylor & Francis Journals, vol. 58(6), pages 1356-1373, June.
    5. Marco Amendola & Marcelo C. Pereira, 2025. "Are fiscal multipliers state dependent? Insights from an agent-based model," LEM Papers Series 2025/10, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    6. Aguilar, Jose & Lahura, Erick, 2026. "When expectations matter: The role of fiscal foresight in government spending shocks in Peru," Economic Analysis and Policy, Elsevier, vol. 89(C), pages 505-526.
    7. Ageliki Anagnostou & Piotr Krajewski & Katarzyna Pilat, 2020. "Regional Specific Idiosyncrasies and Fiscal Policy: Evidence from 47 Regions of the Central and Eastern European Countries," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 936-954.
    8. Saccone, Donatella & Posta, Pompeo Della & Marelli, Enrico & Signorelli, Marcello, 2022. "Public investment multipliers by functions of government: An empirical analysis for European countries," Structural Change and Economic Dynamics, Elsevier, vol. 60(C), pages 531-545.
    9. Robert L. Czudaj & Joscha Beckmann, 2020. "Fiscal Policy Uncertainty and its Effects on the Real Economy: German Evidence," Chemnitz Economic Papers 039, Department of Economics, Chemnitz University of Technology, revised Oct 2020.
    10. Ihor Kendiukhov, 2024. "Present Value of the Future Consumer Goods Multiplier," Papers 2402.01938, arXiv.org.
    11. Johannes Hermanus Kemp, 2020. "Empirical estimates of fiscal multipliers for South Africa," WIDER Working Paper Series wp-2020-91, World Institute for Development Economic Research (UNU-WIDER).

  24. Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach," CESifo Working Paper Series 7105, CESifo.

    Cited by:

    1. Chatterjee Pratiti, 2019. "Asymmetric impact of uncertainty in recessions: are emerging countries more vulnerable?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(2), pages 1-27, April.
    2. Isaac Ketu & Jules-Eric Tchapchet-Tchouto, 2023. "Revisiting the Infrastructure–Industrialisation Nexus in Africa: Economic Uncertainty Contingent and Thresholds," Journal of Infrastructure Development, India Development Foundation, vol. 15(2), pages 133-155, December.
    3. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.
    4. Ijaz Younis & Himani Gupta & Waheed Ullah Shah & Arshian Sharif & Xuan Tang, 2024. "The Effects of Economic Uncertainty and Trade Policy Uncertainty on Industry-Specific Stock Markets Equity," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2909-2933, November.
    5. Dogah, Kingsley E., 2021. "Effect of trade and economic policy uncertainties on regional systemic risk: Evidence from ASEAN," Economic Modelling, Elsevier, vol. 104(C).
    6. Bakhtiar Javaheri & Fateh habibi & Ramin Amani, 2022. "Economic policy uncertainty and the US stock market trading: non-ARDL evidence," Future Business Journal, Springer, vol. 8(1), pages 1-10, December.
    7. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2021. "Uncertainty shocks and the great recession: Nonlinearities matter," Economics Letters, Elsevier, vol. 198(C).
    8. Jonathan E. Ogbuabor & Ekene ThankGod Emeka & Emmanuel O. Nwosu, 2023. "Effects of terrorism and economic policy uncertainty on economic complexity in Africa: A study of the moderating role of governance institutions," South African Journal of Economics, Economic Society of South Africa, vol. 91(4), pages 528-557, December.
    9. Yao, Can-Zhong & Sun, Bo-Yi, 2018. "The study on the tail dependence structure between the economic policy uncertainty and several financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 245-265.
    10. Yi‐Ting Peng & Tsangyao Chang & Omid Ranjbar, 2022. "Analyzing the degree of persistence of economic policy uncertainty using linear and non‐linear fourier quantile unit root tests," Manchester School, University of Manchester, vol. 90(4), pages 453-471, July.
    11. Huang, MeiChi, 2024. "A greater crisis? Investigating MSA-level housing markets during the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 71(C).
    12. He, Feng & Wang, Ziwei & Yin, Libo, 2020. "Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    13. Cagli, Efe Caglar & Mandaci, Pinar Evrim, 2023. "Time and frequency connectedness of uncertainties in cryptocurrency, stock, currency, energy, and precious metals markets," Emerging Markets Review, Elsevier, vol. 55(C).
    14. Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," "Marco Fanno" Working Papers 0220, Dipartimento di Scienze Economiche "Marco Fanno".
    15. Rabhi, Ayoub & haoudi, amina & Bennagem Touati, Ali, 2021. "The Nexus between Government Intervention and Economic Uncertainty During the COVID-19 Pandemic," MPRA Paper 123862, University Library of Munich, Germany.
    16. Ozili, Peterson K, 2025. "Macroeconomic determinants of unemployment in ECOWAS countries," MPRA Paper 127373, University Library of Munich, Germany.
    17. Nguyen, Canh Phuc, 2022. "Does economic complexity matter for the shadow economy?," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 210-227.
    18. Godil, Danish Iqbal & Sarwat, Salman & Sharif, Arshian & Jermsittiparsert, Kittisak, 2020. "How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique," Resources Policy, Elsevier, vol. 66(C).
    19. Oscar Claveria, 2020. "Business and consumer uncertainty in the face of the pandemic: A sector analysis in European countries," Papers 2012.02091, arXiv.org.
    20. Pierdzioch Christian & Gupta Rangan, 2020. "Uncertainty and Forecasts of U.S. Recessions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-20, September.
    21. Al-Thaqeb, Saud Asaad & Algharabali, Barrak Ghanim, 2019. "Economic policy uncertainty: A literature review," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    22. Abdou, Rawayda & Cassells, Damien & Berrill, Jenny & Hanly, Jim, 2022. "Revisiting the relationship between economic uncertainty and suicide: An alternative approach," Social Science & Medicine, Elsevier, vol. 306(C).
    23. Chengdong Wang & Hui Jiao & Yuanyuan Cai & Xianyu Zhu, 2026. "Economic Policy Uncertainty and Digital Finance Development: Evidence From 30 Regions in China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 31(1), pages 368-389, January.
    24. Maria Elena Bontempi & Michele Frigeri & Roberto Golinelli & Matteo Squadrani, 2021. "EURQ: A New Web Search‐based Uncertainty Index," Economica, London School of Economics and Political Science, vol. 88(352), pages 969-1015, October.
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    33. Peizhi Zhao & Yuyan Wang, 2022. "How Does Economic Policy Uncertainty Affect Momentum Returns? Evidence from China," IJFS, MDPI, vol. 10(3), pages 1-18, July.
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    39. Su, Chi-Wei & Huang, Shi-Wen & Qin, Meng & Umar, Muhammad, 2021. "Does crude oil price stimulate economic policy uncertainty in BRICS?," Pacific-Basin Finance Journal, Elsevier, vol. 66(C).
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    41. Trung, Nguyen Ba, 2019. "The spillover effects of US economic policy uncertainty on the global economy: A global VAR approach," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 90-110.
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  25. Jonas E. Arias & Guido Ascari & Nicola Branzoli & Efrem Castelnuovo, 2018. "Positive Trend Inflation and Determinacy in a Medium-Sized New Keynesian Model," CESifo Working Paper Series 7122, CESifo.

    Cited by:

    1. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.
    2. Yasuo Hirose, 2018. "An Estimated DSGE Model with a Deflation Steady State," Keio-IES Discussion Paper Series 2018-014, Institute for Economics Studies, Keio University.
    3. Joshua Brault & Louis Phaneuf, 2025. "What Drives Low and Stable Inflation?," Working Papers 25-02, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Feb 2025.
    4. Giovanni Nicolo, 2020. "Monetary Policy, Self-Fulfilling Expectations and the U.S. Business Cycle," Finance and Economics Discussion Series 2020-035, Board of Governors of the Federal Reserve System (U.S.).
    5. Guido Ascari & Qazi Haque & Leandro M. Magnusson & Sophocles Mavroeidis, 2021. "Empirical evidence on the Euler equation for investment in the US," Papers 2107.08713, arXiv.org, revised Aug 2022.
    6. Yasuo Hirose & Takushi Kurozumi & Willem Van Zandweghe, 2020. "Monetary Policy and Macroeconomic Stability Revisited," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 255-274, July.
    7. Qazi Haque & Nicolas Groshenny & Mark Weder, 2020. "Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?," Economics Working Papers 2020-10, Department of Economics and Business Economics, Aarhus University.
    8. Francesco Bianchi & Giovanni Nicolò, 2021. "A generalized approach to indeterminacy in linear rational expectations models," Quantitative Economics, Econometric Society, vol. 12(3), pages 843-868, July.
    9. Qureshi, Irfan, 2018. "Money Aggregates and Determinacy : A Reinterpretation of Monetary Policy During the Great Inflation," The Warwick Economics Research Paper Series (TWERPS) 1156, University of Warwick, Department of Economics.
    10. Qazi Haque, 2017. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," Adelaide Economics Working Papers 2017-13, Adelaide University, School of Economics.
    11. Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," Adelaide Economics Working Papers 2017-10, Adelaide University, School of Economics.
    12. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Melbourne Institute Working Paper Series wp2019n05, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    13. Hashmat Khan & Louis Phaneuf & Jean Gardy Victor, 2018. "Rules-Based Monetary Policy and the Threat of Indeterminacy When Trend Inflation is Low," Carleton Economic Papers 18-08, Carleton University, Department of Economics, revised 08 Mar 2019.
    14. Gomes, Pedro & Seoane, Hernán D., 2024. "Made in Europe: Monetary–Fiscal policy mix with financial frictions," European Economic Review, Elsevier, vol. 165(C).
    15. Giovanni Nicolò, 2025. "US Monetary Policy and Indeterminacy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(2), pages 195-213, March.

  26. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2018. "Risk Management-Driven Policy Rate Gap," CESifo Working Paper Series 7177, CESifo.

    Cited by:

    1. Thomas Gomez & Giulia Piccillo, 2023. "Does U.S. Monetary Policy Respond to Macroeconomic Uncertainty?," CESifo Working Paper Series 10407, CESifo.
    2. Long, Shaobo & Zuo, Yulan & Tian, Hao, 2023. "Asymmetries in multi-target monetary policy rule and the role of uncertainty: Evidence from China," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 278-296.
    3. Caggiano, Giovanni & Castelnuovo, Efrem & Delrio, Silvia & Kima, Richard, 2021. "Financial uncertainty and real activity: The good, the bad, and the ugly," European Economic Review, Elsevier, vol. 136(C).
    4. Céline Poilly & Fabien Tripier, 2023. "Regional Trade Policy Uncertainty," AMSE Working Papers 2321, Aix-Marseille School of Economics, France.
    5. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    6. Martin Seneca, 2020. "Risk Shocks and Monetary Policy in the New Normal," International Journal of Central Banking, International Journal of Central Banking, vol. 16(6), pages 185-232, December.
    7. Caggiano, Giovanni & Castelnuovo, Efrem & Kima, Richard, 2020. "The global effects of Covid-19-induced uncertainty," Economics Letters, Elsevier, vol. 194(C).
    8. Rangan Gupta & Mark Wohar, 2019. "The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data," Economics and Business Letters, Oviedo University Press, vol. 8(3), pages 138-146.
    9. Efrem Castelnuovo & Guay Lim, 2019. "What Do We Know About the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 52(1), pages 78-93, March.
    10. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2022. "Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009)," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 210-217, January.

  27. Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2017. "Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound," CESifo Working Paper Series 6622, CESifo.

    Cited by:

    1. Christophe Andre & Petre Caraiani & Rangan Gupta, 2023. "Fiscal Policy and Stock Markets at the Effective Lower Bound," Working Papers 202309, University of Pretoria, Department of Economics.
    2. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.
    3. Maksim Isakin & Phuong V. Ngo, 2020. "Variance Decomposition Analysis for Nonlinear Economic Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1362-1374, December.
    4. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2021. "Uncertainty shocks and the great recession: Nonlinearities matter," Economics Letters, Elsevier, vol. 198(C).
    5. Rangan Gupta & Chi Keung Marco Lau & Mark E. Wohar, 2016. "The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model," Working Papers 201681, University of Pretoria, Department of Economics.
    6. de la Horra, Luis P. & Perote, Javier & de la Fuente, Gabriel, 2021. "Monetary policy and corporate investment: A panel-data analysis of transmission mechanisms in contexts of high uncertainty," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 609-624.
    7. Hristov, Nikolay & Roth, Markus, 2019. "Uncertainty shocks and financial crisis indicators," Discussion Papers 36/2019, Deutsche Bundesbank.
    8. Christou, Christina & Gupta, Rangan, 2020. "Forecasting equity premium in a panel of OECD countries: The role of economic policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 243-248.
    9. Sangyup Choi & Chansik Yoon, 2019. "Uncertainty, Financial Markets, and Monetary Policy over the Last Century," Working papers 2019rwp-142, Yonsei University, Yonsei Economics Research Institute.
    10. Hristov, Nikolay & Roth, Markus, 2022. "Uncertainty shocks and systemic-risk indicators," Journal of International Money and Finance, Elsevier, vol. 122(C).
    11. Belke, Ansgar & Kronen, Dominik, 2017. "The impact of uncertainty on macro variables: An SVAR-based empirical analysis for EU countries," Ruhr Economic Papers 699, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    12. Laurent Ferrara & Stéphane Lhuissier & Fabien Tripier, 2017. "Uncertainty Fluctuations: Measures, Effects and Macroeconomic Policy Challenges," CEPII Policy Brief 2017-20, CEPII research center.
    13. Bettarelli, Luca & Furceri, Davide & Pizzuto, Pietro & Shakoor, Nadia, 2024. "Uncertainty and innovation in renewable energy," Journal of International Money and Finance, Elsevier, vol. 149(C).
    14. Frangiamore, Francesco & Matarrese, Marco Maria, 2025. "Government spending multipliers and financial fragility in Italy," Economic Modelling, Elsevier, vol. 145(C).
    15. Angelini, Giovanni & Fanelli, Luca, 2018. "Exogenous uncertainty and the identification of Structural Vector Autoregressions with external instruments," MPRA Paper 93864, University Library of Munich, Germany, revised May 2019.
    16. Ansgar Belke & Matthias Göcke, 2019. "Interest Rate Hysteresis in Macroeconomic Investment under Uncertainty," ROME Working Papers 201902, ROME Network.
    17. Valentin Grob & Gabriel Züllig, 2024. "Corporate leverage and the effects of monetary policy on investment: A reconciliation of micro and macro elasticities," IRENE Working Papers 24-04, IRENE Institute of Economic Research.
    18. Pierdzioch Christian & Gupta Rangan, 2020. "Uncertainty and Forecasts of U.S. Recessions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-20, September.
    19. Tian, Zhaoping & Wang, Wei & Tan, Qing & Huang, Xiaolu, 2025. "Perception of economic policy uncertainty and inefficient investment," Finance Research Letters, Elsevier, vol. 86(PE).
    20. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2023. "Uncertainty And Monetary Policy During The Great Recession," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(2), pages 577-606, May.
    21. Chikhale, Nisha, 2023. "The effects of uncertainty shocks: Implications of wealth inequality," European Economic Review, Elsevier, vol. 154(C).
    22. Alessandro Lin & Marcel Peruffo, 2024. "Aggregate uncertainty, HANK, and the ZLB," Temi di discussione (Economic working papers) 1442, Bank of Italy, Economic Research and International Relations Area.
    23. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2020. "Bayesian Modelling of TVP-VARs Using Regression Trees," Working Papers 2308, University of Strathclyde Business School, Department of Economics, revised Aug 2023.
    24. Fischer, Manfred M. & Hauzenberger, Niko & Huber, Florian & Pfarrhofer, Michael, 2022. "General Bayesian time-varying parameter VARs for modeling government bond yields," Working Papers in Regional Science 2021/01, WU Vienna University of Economics and Business.
    25. Mathias Krogh & Giovanni Pellegrino, 2024. "Real Activity and Uncertainty Shocks: The Long and the Short of It," "Marco Fanno" Working Papers 0310, Dipartimento di Scienze Economiche "Marco Fanno".
    26. Benchimol, Jonathan & Saadon, Yossi & Segev, Nimrod, 2023. "Stock market reactions to monetary policy surprises under uncertainty," International Review of Financial Analysis, Elsevier, vol. 89(C).
    27. Bettarelli, Luca & Furceri, Davide & Pizzuto, Pietro & Shakoor, Nadia, 2025. "Do climate policies affect green patenting patterns?," Energy Economics, Elsevier, vol. 150(C).
    28. Belke, Ansgar & Osowski, Thomas, 2017. "International effects of euro area versus US policy uncertainty: A FAVAR approach," Ruhr Economic Papers 689, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    29. Haque, Qazi & Magnusson, Leandro M., 2021. "Uncertainty shocks and inflation dynamics in the U.S," Economics Letters, Elsevier, vol. 202(C).
    30. Chen, Peng & Miao, Xinru, 2024. "Understanding the role of China's factors in international commodity price fluctuations: A perspective of monetary-fiscal policy interaction," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1464-1483.
    31. Giovanni Caggiano & Efrem Castelnuovo, 2023. "Global financial uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 432-449, April.
    32. Nicoletta Batini & Mario di Serio & Matteo Fragetta & Mr. Giovanni Melina, 2021. "Building Back Better: How Big Are Green Spending Multipliers?," IMF Working Papers 2021/087, International Monetary Fund.
    33. Ricardo J. Caballero & Gunes Kamber, 2019. "On the Global Impact of Risk-off Shocks and Policy-put Frameworks," NBER Working Papers 26031, National Bureau of Economic Research, Inc.
    34. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," CESifo Working Paper Series 7900, CESifo.
    35. Cheng, Chak Hung Jack & Hankins, William B. & Stone, Anna-Leigh, 2026. "The impact of financial uncertainty shocks on firm creation across US states," Journal of Macroeconomics, Elsevier, vol. 87(C).
    36. Arbatli Saxegaard, Elif C. & Davis, Steven J. & Ito, Arata & Miake, Naoko, 2022. "Policy uncertainty in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 64(C).
    37. Marco Desogus & Beatrice Venturi, 2023. "Stability and Bifurcations in Banks and Small Enterprises—A Three-Dimensional Continuous-Time Dynamical System," JRFM, MDPI, vol. 16(3), pages 1-20, March.
    38. Hernández Vega Marco A., 2021. "The Nonlinear Effect of Uncertainty in Portfolio Flows to Mexico," Working Papers 2021-11, Banco de México.
    39. Mehmet Balcilar & Riza Demirer & Rangan Gupta & Reneé van Eyden, 2016. "Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty," Working Papers 201620, University of Pretoria, Department of Economics.
    40. Adalgiso AMENDOLA & Mario DI SERIO & Matteo FRAGETTA, 2018. "The Government Spending Multiplier at the Zero Lower Bound: Evidence from the Euro Area," CELPE Discussion Papers 153, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy.
    41. Amendola, Adalgiso & Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni, 2020. "The euro-area government spending multiplier at the effective lower bound," European Economic Review, Elsevier, vol. 127(C).
    42. Ahmed, Rashad, 2023. "Global commodity prices and macroeconomic fluctuations in a low interest rate environment," Energy Economics, Elsevier, vol. 127(PB).
    43. Davide Brignone & Luca Gambetti & Martino Ricci, 2025. "Geopolitical risk shocks: when size matters," Bank of England Staff Working Paper series 1118, Bank of England.
    44. Steven J. Davis, 2019. "Rising Policy Uncertainty," NBER Working Papers 26243, National Bureau of Economic Research, Inc.
    45. Jan Prüser & Alexander Schlösser, 2020. "On the Time‐Varying Effects of Economic Policy Uncertainty on the US Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(5), pages 1217-1237, October.
    46. Istiak, Khandokar & Serletis, Apostolos, 2020. "Risk, uncertainty, and leverage," Economic Modelling, Elsevier, vol. 91(C), pages 257-273.
    47. Gabriel Arce‐Alfaro & Boris Blagov, 2023. "Monetary Policy Uncertainty and Inflation Expectations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 70-94, February.
    48. Bäurle Gregor & Kaufmann Daniel & Kaufmann Sylvia & Strachan Rodney, 2020. "Constrained interest rates and changing dynamics at the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-26, April.
    49. Hedi Ben Haddad & Imed Mezghani & Imed Medhioub & Sohale Altamimi, 2024. "Spillover effects of disaggregated macroeconomic uncertainties on U.S. real activity: evidence from the quantile vector autoregressive connectedness approach," Empirical Economics, Springer, vol. 66(2), pages 829-858, February.
    50. Li, Zehao, 2022. "Financial intermediary leverage and monetary policy transmission," European Economic Review, Elsevier, vol. 144(C).
    51. Castelnuovo, Efrem & Duc Tran, Trung, 2017. "Google It Up! A Google Trends-based Uncertainty Index for the United States and Australia," MPRA Paper 82297, University Library of Munich, Germany.
    52. Caggiano, Giovanni & Castelnuovo, Efrem & Delrio, Silvia & Kima, Richard, 2021. "Financial uncertainty and real activity: The good, the bad, and the ugly," European Economic Review, Elsevier, vol. 136(C).
    53. Burrell, Hamish & Vespignani, Joaquin, 2019. "The industrial impact of economic uncertainty shocks in Australia," Working Papers 2019-08, University of Tasmania, Tasmanian School of Business and Economics.
    54. Zhang, Wenbei & Luckert, Marty & Qiu, Feng, 2023. "Asymmetric price transmission and impulse responses from U.S. crude oil to jet fuel and diesel markets," Energy, Elsevier, vol. 283(C).
    55. Balcilar, Mehmet & Demirer, Riza & Gupta, Rangan & van Eyden, Reneé, 2017. "The impact of US policy uncertainty on the monetary effectiveness in the Euro area," Journal of Policy Modeling, Elsevier, vol. 39(6), pages 1052-1064.
    56. Giovanni Pellegrino, 2020. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Economics Working Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
    57. Martin Seneca, 2020. "Risk Shocks and Monetary Policy in the New Normal," International Journal of Central Banking, International Journal of Central Banking, vol. 16(6), pages 185-232, December.
    58. Efrem Castelnuovo & Giovanni Pellegrino, 2018. "Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation," "Marco Fanno" Working Papers 0219, Dipartimento di Scienze Economiche "Marco Fanno".
    59. ÅžimÅŸek, Alp & Caballero, Ricardo, 2019. "A Risk-centric Model of Demand Recessions and Speculation," CEPR Discussion Papers 13815, Centre for Economic Policy Research.
    60. Efrem Castelnuovo & Guay Lim & Giovanni Pellegrino, 2018. "Macroeconomic Policies in a Low Interest Rate Environment: Back to Keynes?," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(1), pages 70-86, March.
    61. Prüser, Jan & Schlösser, Alexander, 2018. "On the time-varying effects of economic policy uncertainty on the US economy," Ruhr Economic Papers 761, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    62. Mirela Miescu, 2019. "Uncertainty shocks in emerging economies," Working Papers 277077821, Lancaster University Management School, Economics Department.
    63. Nicholas Apergis & Emmanuel Apergis, 2025. "Uncertainty and inflation: The role of COVID-19 stabilisation policies-Evidence from OECD countries," International Economics and Economic Policy, Springer, vol. 22(1), pages 1-9, February.
    64. Costantini, Mauro & Sousa, Ricardo M., 2022. "What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality," Journal of International Money and Finance, Elsevier, vol. 122(C).
    65. Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2025. "The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-22, December.
    66. Catalano, Michele & Forni, Lorenzo, 2025. "A news-based macro uncertainty index for Italy," Journal of International Money and Finance, Elsevier, vol. 157(C).
    67. Josué Diwambuena & Jean-Paul K. Tsasa, 2021. "The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models," BEMPS - Bozen Economics & Management Paper Series BEMPS87, Faculty of Economics and Management at the Free University of Bozen.
    68. De Santis, Roberto A. & Tornese, Tommaso, 2025. "Energy supply shocks’ nonlinearities on output and prices," European Economic Review, Elsevier, vol. 176(C).
    69. Caggiano, Giovanni & Castelnuovo, Efrem & Kima, Richard, 2020. "The global effects of Covid-19-induced uncertainty," Economics Letters, Elsevier, vol. 194(C).
    70. Stefano Di Bucchianico & Mario Di Serio & Matteo Fragetta & Giovanni Melina, 2025. "Time-Varying Impacts of Government Spending on CO2 Emissions," CESifo Working Paper Series 11960, CESifo.
    71. Popp, Aaron & Zhang, Fang, 2025. "Divergent effects of aggregate and local uncertainty shocks: Evidence from US metropolitan areas," Economic Modelling, Elsevier, vol. 152(C).
    72. Efrem Castelnuovo & Lorenzo Mori, 2022. "Uncertainty, Skewness, and the Business Cycle through the MIDAS Lens," CESifo Working Paper Series 10062, CESifo.
    73. Efrem Castelnuovo & Guay C. Lim, 2018. "What Do We Know about the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers," CESifo Working Paper Series 7366, CESifo.
    74. Ravenna, Federico & Cacciatore, Matteo, 2020. "Uncertainty, Wages, and the Business Cycle," CEPR Discussion Papers 14715, Centre for Economic Policy Research.
    75. Laura E. Jackson & Kevin L. Kliesen & Michael T. Owyang, 2018. "The Nonlinear Effects of Uncertainty Shocks," Working Papers 2018-035, Federal Reserve Bank of St. Louis.
    76. Shah, Adil Ahmad & Dar, Arif Billah & Bhanumurthy, N.R., 2021. "Are precious metals and equities immune to monetary and fiscal policy uncertainties?," Resources Policy, Elsevier, vol. 74(C).
    77. Caggiano, Giovanni & Castelnuovo, Efrem & Nodari, Gabriela, 2018. "Risk management-driven policy rate gap," Economics Letters, Elsevier, vol. 171(C), pages 235-238.
    78. Rangan Gupta & Mark Wohar, 2019. "The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data," Economics and Business Letters, Oviedo University Press, vol. 8(3), pages 138-146.
    79. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020. "Uncertainty and Monetary Policy during Extreme Events," Economics Working Papers 2020-11, Department of Economics and Business Economics, Aarhus University.
    80. Arigoni, Filippo & Lenarčič, Črt, 2023. "Foreign economic policy uncertainty shocks and real activity in the Euro area," MPRA Paper 120022, University Library of Munich, Germany.
    81. Crespo Cuaresma, Jesús & Huber, Florian & Onorante, Luca, 2020. "Fragility and the effect of international uncertainty shocks," Journal of International Money and Finance, Elsevier, vol. 108(C).
    82. Berg, Tim Oliver, 2016. "Business Uncertainty and the Effectiveness of Fiscal Policy in Germany," MPRA Paper 69162, University Library of Munich, Germany.
    83. Iones Kelanemer Holban, 2024. "Non-Linearities in International Spillovers of the ECB$^\prime$s Monetary Policy. The Case of Non-ERM II Countries and Anti-Fragmentation Policy," Papers 2406.19938, arXiv.org, revised Jul 2024.
    84. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Melbourne Institute Working Paper Series wp2019n05, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    85. Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2021. "General Bayesian time-varying parameter VARs for predicting government bond yields," Papers 2102.13393, arXiv.org.
    86. Qazi Haque & Leandro M. Magnusson & Kazuki Tomioka, 2021. "Empirical Evidence on the Dynamics of Investment Under Uncertainty in the U.S," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1193-1217, October.
    87. Martin Seneca, 2017. "Risk Shocks Close to the Zero Lower Bound," 2017 Meeting Papers 107, Society for Economic Dynamics.
    88. Martin Iseringhausen & Konstantinos Theodoridis, 2025. "A survey-based measure of asymmetric macroeconomic risk in the euro area," Working Papers 68, European Stability Mechanism, revised 11 Feb 2025.
    89. Giovanni Pellegrino & Federico Ravenna & Gabriel Züllig, 2021. "The Impact of Pessimistic Expectations on the Effects of COVID‐19‐Induced Uncertainty in the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 841-869, August.
    90. Gupta, Rangan & Ma, Jun & Risse, Marian & Wohar, Mark E., 2018. "Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 317-337.
    91. Nguyen, Bao H. & Okimoto, Tatsuyoshi, 2019. "Asymmetric reactions of the US natural gas market and economic activity," Energy Economics, Elsevier, vol. 80(C), pages 86-99.
    92. Khandokar Istiak, 2021. "Risk, uncertainty and the tourism sector of North Africa," African Development Review, African Development Bank, vol. 33(2), pages 329-342, June.
    93. Ahmed, Ali & Granberg, Mark & Troster, Victor & Uddin, Gazi Salah, 2020. "Asymmetric Dynamics between Uncertainty and Unemployment Flows in the United States," LiU Working Papers in Economics 7, Linköping University, Division of Economics, Department of Management and Engineering.
    94. Belke, Ansgar & Goemans, Pascal, 2019. "Uncertainty and non-linear macroeconomic effects of fiscal policy in the US: A SEIVAR-based analysis," Ruhr Economic Papers 826, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    95. Angelini, Giovanni & Costantini, Mauro & Easaw, Joshy, 2018. "Uncertainty and spillover effects across the Euro area," Cardiff Economics Working Papers E2018/15, Cardiff University, Cardiff Business School, Economics Section.
    96. Bergmann, Philip, 2019. "Oil price shocks and GDP growth: Do energy shares amplify causal effects?," Energy Economics, Elsevier, vol. 80(C), pages 1010-1040.
    97. Schüler, Yves S., 2020. "The impact of uncertainty and certainty shocks," Discussion Papers 14/2020, Deutsche Bundesbank.
    98. Mario DI SERIO & Matteo FRAGETTA & Emanuel GASTEIGER, 2017. "The Government Spending Multiplier at the Zero Lower Bound: Evidence from the United States," CELPE Discussion Papers 150, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy.
    99. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2016. "Forecasting US GNP Growth: The Role of Uncertainty," Working Papers 201667, University of Pretoria, Department of Economics.
    100. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2020. "Uncertainty and monetary policy in good and bad times: A replication of the VAR investigation by Bloom (2009)," "Marco Fanno" Working Papers 0261, Dipartimento di Scienze Economiche "Marco Fanno".
    101. Ambrocio, Gene, 2022. "Inflationary household uncertainty shocks," Bank of Finland Research Discussion Papers 5/2022, Bank of Finland.
    102. Moreno-Pérez, Carlos & Minozzo, Marco, 2024. "‘Making text talk’: The minutes of the Central Bank of Brazil and the real economy," Journal of International Money and Finance, Elsevier, vol. 147(C).
    103. Jalloul, Maya & Miescu, Mirela, 2023. "Equity market connectedness across regimes of geopolitical risks: Historical evidence and theory," Journal of International Money and Finance, Elsevier, vol. 137(C).
    104. Vagliasindi,Maria & Gorgulu,Nisan, 2021. "What Have We Learned about the Effectiveness of Infrastructure Investment as a FiscalStimulus ? A Literature Review," Policy Research Working Paper Series 9796, The World Bank.
    105. Tara M. Sinclair & Zhoudan Xie, 2021. "Sentiment and Uncertainty about Regulation," Working Papers 2021-004, The George Washington University, The Center for Economic Research.
    106. Aymeric Ortmans, 2020. "Evolving Monetary Policy in the Aftermath of the Great Recession," Documents de recherche 20-01, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    107. Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni, 2021. "The impact of r-g on Euro-Area government spending multipliers," Journal of International Money and Finance, Elsevier, vol. 119(C).
    108. Neri, Stefano & Nobili, Andrea & Conti, Antonio M., 2017. "Low inflation and monetary policy in the euro area," Working Paper Series 2005, European Central Bank.
    109. Quelhas, João, 2022. "Monetary Policy Uncertainty and its impact on the real economy: Empirical Evidence from the Euro area," MPRA Paper 113621, University Library of Munich, Germany, revised May 2022.
    110. Bańbura, Marta & Albani, Maria & Ambrocio, Gene & Bursian, Dirk & Buss, Ginters & de Winter, Jasper & Gavura, Miroslav & Giordano, Claire & Júlio, Paulo & Le Roux, Julien & Lozej, Matija & Malthe-Thag, 2018. "Business investment in EU countries," Occasional Paper Series 215, European Central Bank.
    111. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2017. "Uncertainty and Monetary Policy in Good and Bad Times," RBA Research Discussion Papers rdp2017-06, Reserve Bank of Australia.
    112. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2022. "Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009)," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 210-217, January.
    113. Di Serio, Mario, 2024. "Public debt determinants: A time-varying analysis of core and peripheral Euro area countries," Finance Research Letters, Elsevier, vol. 69(PA).
    114. Laurent FERRARA & Stéphane LHUISSIER & Fabien TRIPIER, 2018. "Uncertainty and macroeconomics: transmission channels and policy implications," Rue de la Banque, Banque de France, issue 61, April.
    115. Goemans, Pascal & Belke, Ansgar, 2019. "Uncertainty and non-linear macroeconomic effects of fiscal policy in the US: A SEIVAR-based analysis," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203538, Verein für Socialpolitik / German Economic Association.
    116. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," Melbourne Institute Working Paper Series wp2019n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    117. Belke, Ansgar & Volz, Ulrich, 2018. "Capital flows to emerging market and developing economies: global liquidity and uncertainty versus country-specific pull factors," IDOS Discussion Papers 23/2018, German Institute of Development and Sustainability (IDOS).
    118. Chen, Peng & Miao, Xinru & Tee, Kai-Hong, 2023. "Do gold prices respond more to uncertainty shocks at the zero lower bound?," Resources Policy, Elsevier, vol. 86(PA).
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    121. Gregor Bäurle & Daniel Kaufmann, 2018. "Measuring Exchange Rate, Price, and Output Dynamics at the Effective Lower Bound," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(6), pages 1243-1266, December.
    122. G. Angelini & L. Fanelli, 2018. "Identification and estimation issues in Structural Vector Autoregressions with external instruments," Working Papers wp1122, Dipartimento Scienze Economiche, Universita' di Bologna.
    123. Swaminathan, Anthony, 2021. "Macroeconomic volatility at the zero lower bound: Evidence from the OECD," Economics Letters, Elsevier, vol. 204(C).
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  28. Caggiano, Giovanni & Castelnuovo, Efrem & Nodari, Gabriela, 2017. "Uncertainty and monetary policy in good and bad times," Bank of Finland Research Discussion Papers 8/2017, Bank of Finland.

    Cited by:

    1. Rangan Gupta & Chi Keung Marco Lau & Mark E. Wohar, 2016. "The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model," Working Papers 201681, University of Pretoria, Department of Economics.
    2. Zulquar Nain & Bandi Kamaiah, 2020. "Uncertainty and Effectiveness of Monetary Policy: A Bayesian Markov Switching-VAR Analysis," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 237-265.
    3. Fergus Cumming & Paul Hubert, 2019. "The role of households' borrowing constraints in the transmission of monetary policy," Sciences Po Economics Publications (main) hal-03403257, HAL.
    4. Pedro Costa Ferreira & Raíra Marotta B. Vieira & Felipi Bruno Silva & Ingrid C. L. Oliveira, 2019. "Measuring Brazilian Economic Uncertainty," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 15(1), pages 25-40, April.
    5. Christou, Christina & Gupta, Rangan, 2020. "Forecasting equity premium in a panel of OECD countries: The role of economic policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 243-248.
    6. Sandra Eickmeier & Norbert Metiu & Esteban Prieto, 2016. "Time-Varying Volatility, Financial Intermediation and Monetary Policy," CAMA Working Papers 2016-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    7. Sangyup Choi & Chansik Yoon, 2019. "Uncertainty, Financial Markets, and Monetary Policy over the Last Century," Working papers 2019rwp-142, Yonsei University, Yonsei Economics Research Institute.
    8. Gökgöz, Halilibrahim & Syed, Aamir Aijaz & Gheorghe, Catalin & Jeribi, Ahmed, 2026. "Quantile-frequency dependence between U.S. sector stock indices and macro-financial indicators: A quantile coherence approach," The North American Journal of Economics and Finance, Elsevier, vol. 81(C).
    9. Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," "Marco Fanno" Working Papers 0220, Dipartimento di Scienze Economiche "Marco Fanno".
    10. Stéphane Lhuissier & Fabien Tripier, 2016. "Do Uncertainty Shocks Always Matter for Business Cycles?," Working Papers 2016-19, CEPII research center.
    11. Pinshi, Christian P., 2020. "Monetary policy, uncertainty and COVID-19," MPRA Paper 100836, University Library of Munich, Germany, revised 27 May 2020.
    12. Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye, 2023. "Monetary Policy Effectiveness in the Face of Uncertainty: The Real Macroeconomic Impact of a Monetary Policy Shock in South Africa during High and Low Uncertainty States," Working Papers 202331, University of Pretoria, Department of Economics.
    13. PINSHI, Christian P., 2020. "COVID-19 uncertainty and monetary policy," MPRA Paper 100184, University Library of Munich, Germany.
    14. Herwartz, Helmut & Rohloff, Hannes, 2018. "Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment," University of Göttingen Working Papers in Economics 358, University of Goettingen, Department of Economics.
    15. Britta Gehrke & Brigitte Hochmuth, 2021. "Counteracting Unemployment in Crises: Non‐Linear Effects of Short‐Time Work Policy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(1), pages 144-183, January.
    16. Mehmet Balcilar & Riza Demirer & Rangan Gupta & Reneé van Eyden, 2016. "Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty," Working Papers 201620, University of Pretoria, Department of Economics.
    17. Priya, Pragati & Sharma, Chandan, 2025. "The uncertainty-driven channel of monetary transmission on household consumption: the role of households’ balance sheet positions," International Review of Economics & Finance, Elsevier, vol. 103(C).
    18. Elisabeth Falck & Mathias Hoffmann & Patrick Hürtgen, 2018. "Disagreement and Monetary Policy," 2018 Meeting Papers 655, Society for Economic Dynamics.
    19. Bennani, Hamza & Kranz, Tobias & Neuenkirch, Matthias, 2018. "Disagreement between FOMC members and the Fed’s staff: New insights based on a counterfactual interest rate," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 139-153.
    20. Castelnuovo, Efrem & Duc Tran, Trung, 2017. "Google It Up! A Google Trends-based Uncertainty Index for the United States and Australia," MPRA Paper 82297, University Library of Munich, Germany.
    21. Saltzman, Bennett & Yung, Julieta, 2018. "A machine learning approach to identifying different types of uncertainty," Economics Letters, Elsevier, vol. 171(C), pages 58-62.
    22. Balcilar, Mehmet & Demirer, Riza & Gupta, Rangan & van Eyden, Reneé, 2017. "The impact of US policy uncertainty on the monetary effectiveness in the Euro area," Journal of Policy Modeling, Elsevier, vol. 39(6), pages 1052-1064.
    23. Giovanni Pellegrino, 2020. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Economics Working Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
    24. Efrem Castelnuovo & Giovanni Pellegrino, 2018. "Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation," "Marco Fanno" Working Papers 0219, Dipartimento di Scienze Economiche "Marco Fanno".
    25. Chak Hung Jack Cheng & Ching-Wai (Jeremy) Chiu, 2016. "Nonlinearities of mortgage spreads over the business cycles," Bank of England Staff Working Paper series 634, Bank of England.
    26. Prüser, Jan & Schlösser, Alexander, 2018. "On the time-varying effects of economic policy uncertainty on the US economy," Ruhr Economic Papers 761, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    27. Rifai Afin, 2023. "Interlinka Terlinkage of M GE of Macroeconomic Uncer Croeconomic Uncertainty and Macroeconomic Performance: Evidence from Asean-5 Countries Panel VAR," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 26(1), pages 39-68, March.
    28. Kristina Bluwstein & Julieta Yung, 2019. "Back to the real economy: the effects of risk perception shocks on the term premium and bank lending," Bank of England Staff Working Paper series 806, Bank of England.
    29. Giovanni Caggiano & Efrem Castelnuovo & Olivier Damette & Antoine Parent & Giovanni Pellegrino, 2016. "Liquidity Traps and Large-Scale Financial Crises," Melbourne Institute Working Paper Series wp2016n32, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    30. Tosapol Apaitan & Pongsak Luangaram & Pym Manopimoke, 2020. "Uncertainty and Economic Activity: Does it Matter for Thailand?," PIER Discussion Papers 130, Puey Ungphakorn Institute for Economic Research.
    31. Oh, Eun Young & Magkonis, Georgios & Zhang, Shuonan, 2026. "Dynamics of monetary policy regimes in China under rising global uncertainty: A time-varying approach," Finance Research Letters, Elsevier, vol. 92(C).
    32. Efrem Castelnuovo & Guay C. Lim, 2018. "What Do We Know about the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers," CESifo Working Paper Series 7366, CESifo.
    33. Laura E. Jackson & Kevin L. Kliesen & Michael T. Owyang, 2018. "The Nonlinear Effects of Uncertainty Shocks," Working Papers 2018-035, Federal Reserve Bank of St. Louis.
    34. Rangan Gupta & Mark Wohar, 2019. "The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data," Economics and Business Letters, Oviedo University Press, vol. 8(3), pages 138-146.
    35. Christian Pierdzioch & Rangan Gupta, 2017. "Uncertainty and Forecasts of U.S. Recessions," Working Papers 201732, University of Pretoria, Department of Economics.
    36. Liang, Chin Chia & Troy, Carol & Rouyer, Ellen, 2020. "U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    37. Pellegrino, Giovanni, 2018. "Uncertainty and the real effects of monetary policy shocks in the Euro area," Economics Letters, Elsevier, vol. 162(C), pages 177-181.
    38. Balcilar, Mehmet & Thompson, Kirsten & Gupta, Rangan & van Eyden, Reneé, 2016. "Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 30-43.
    39. Gupta, Rangan & Ma, Jun & Risse, Marian & Wohar, Mark E., 2018. "Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 317-337.
    40. Isaac Baley & Julio Blanco, 2019. "Aggregate Dynamics in Lumpy Economies," 2019 Meeting Papers 903, Society for Economic Dynamics.
    41. Andrés Blanco & Isaac Baley, 2016. "Menu Costs, Uncertainty Cycles, and the Propagation of Nominal Shocks," Working Papers 918, Barcelona School of Economics.
    42. Schüler, Yves S., 2020. "The impact of uncertainty and certainty shocks," Discussion Papers 14/2020, Deutsche Bundesbank.
    43. Bennani, Hamza, 2018. "Media coverage and ECB policy-making: Evidence from an augmented Taylor rule," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 26-38.
    44. Fergus Cumming & Paul Hubert, 2019. "The Role of Households' Borrowing Constraints in the Transmission of Monetary Policy This paper investigates how the transmission of monetary policy to the real economy depends on the distribution of household debt. Using an original loan-level datas," Documents de Travail de l'OFCE 2019-20, Observatoire Francais des Conjonctures Economiques (OFCE).
    45. Michael Ryan, 2020. "An Anchor in Stormy Seas: Does Reforming Economic Institutions Reduce Uncertainty? Evidence from New Zealand," Working Papers in Economics 20/11, University of Waikato.
    46. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2016. "Forecasting US GNP Growth: The Role of Uncertainty," Working Papers 201667, University of Pretoria, Department of Economics.
    47. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2017. "Estimating the real effects of uncertainty shocks at the Zero Lower Bound," European Economic Review, Elsevier, vol. 100(C), pages 257-272.
    48. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times," IZA Discussion Papers 13274, IZA Network @ LISER.
    49. Hauzenberger, Niko & Pfarrhofer, Michael & Stelzer, Anna, 2021. "On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 822-845.
    50. Ralf Fendel & Nicola Mai & Oliver Mohr, 2019. "The Shape of Eurozone’s Uncertainty: Its Impact and Predictive Value on GDP," WHU Working Paper Series - Economics Group 19-01, WHU - Otto Beisheim School of Management.
    51. Bruce Preston, 2017. "Discussion of Is Monetary Policy Less Effective When Interest Rates Are Persistently Low?," RBA Annual Conference Volume (Discontinued), in: Jonathan Hambur & John Simon (ed.),Monetary Policy and Financial Stability in a World of Low Interest Rates, Reserve Bank of Australia.
    52. Shang, Fei, 2022. "The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    53. Corinna Ghirelli & María Gil & Javier J. Pérez & Alberto Urtasun, 2021. "Measuring economic and economic policy uncertainty and their macroeconomic effects: the case of Spain," Empirical Economics, Springer, vol. 60(2), pages 869-892, February.
    54. Ralf Fendel & Nicola Mai & Oliver Mohr, 2020. "The Shape of Eurozone’s Uncertainty: Its Impact and Predictive Value on GDP," Applied Economics and Finance, Redfame publishing, vol. 7(6), pages 1-18, December.
    55. PINSHI, Christian P., 2020. "Uncertainty, monetary policy and COVID-19," MPRA Paper 100147, University Library of Munich, Germany.
    56. Christian Grimme & Steffen Henzel, 2020. "Increasing Business Uncertainty and Credit Conditions in Times of Low and High Uncertainty: Evidence from Firm-Level Survey Data," CESifo Working Paper Series 8791, CESifo.
    57. Silvia Delrio, 2016. "Estimating the effects of global uncertainty in open economies," Working Papers 2016:19, Department of Economics, University of Venice "Ca' Foscari".
    58. Bogdan Dima & Ștefana Maria Dima, 2024. "The non-linear impact of monetary policy on shifts in economic policy uncertainty: evidence from the United States of America," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(3), pages 755-781, August.
    59. Hamish Burrell & Joaquin Vespignani, 2021. "The Industrial Impact of Economic Uncertainty Shocks in Australia," Economic Papers, The Economic Society of Australia, vol. 40(3), pages 248-271, September.

  29. Efrem Castelnuovo & Trung Duc Tran, 2017. "Google It Up! A Google Trends-based Uncertainty Index for the United States and Australia," CESifo Working Paper Series 6695, CESifo.

    Cited by:

    1. Gutiérrez, Antonio, 2023. "La brecha de género en el emprendimiento y la cultura emprendedora: Evidencia con Google Trends [Entrepreneurship gender gap and entrepreneurial culture: Evidence from Google Trends]," MPRA Paper 115876, University Library of Munich, Germany.
    2. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.
    3. Tamgac, Unay, 2021. "Emerging market exchange rates during quantitative tapering: The effect of US and domestic news," Research in International Business and Finance, Elsevier, vol. 57(C).
    4. Hristov, Nikolay & Roth, Markus, 2019. "Uncertainty shocks and financial crisis indicators," Discussion Papers 36/2019, Deutsche Bundesbank.
    5. Hristov, Nikolay & Roth, Markus, 2022. "Uncertainty shocks and systemic-risk indicators," Journal of International Money and Finance, Elsevier, vol. 122(C).
    6. Michela Cella & Elena Manzoni & Francesco Scervini, 2024. "Issue Salience and Women’s Electoral Performance: Theory and Evidence from Google Trends," CESifo Working Paper Series 10922, CESifo.
    7. Aslanidis, Nektarios & Fernández Bariviera, Aurelio & López, Óscar G., 2021. "The link between cryptocurrencies and Google Trends attention," Working Papers 2072/534919, Universitat Rovira i Virgili, Department of Economics.
    8. Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," "Marco Fanno" Working Papers 0220, Dipartimento di Scienze Economiche "Marco Fanno".
    9. Michael Donadelli & Luca Gerotto & Marcella Lucchetta & Daniela Arzu, 2018. "Migration Fear, Uncertainty, and Macroeconomic Dynamics," Working Papers 2018:29, Department of Economics, University of Venice "Ca' Foscari".
    10. Bhanu Pratap & Nalin Priyaranjan, 2023. "Macroeconomic effects of uncertainty: a Google trends-based analysis for India," Empirical Economics, Springer, vol. 65(4), pages 1599-1625, October.
    11. Wei‐Fong Pan & James Reade & Shixuan Wang, 2022. "Measuring US regional economic uncertainty," Journal of Regional Science, Wiley Blackwell, vol. 62(4), pages 1149-1178, September.
    12. Maria Elena Bontempi & Michele Frigeri & Roberto Golinelli & Matteo Squadrani, 2021. "EURQ: A New Web Search‐based Uncertainty Index," Economica, London School of Economics and Political Science, vol. 88(352), pages 969-1015, October.
    13. Costola, Michele & Iacopini, Matteo & Santagiustina, Carlo R.M.A., 2021. "Google search volumes and the financial markets during the COVID-19 outbreak," Finance Research Letters, Elsevier, vol. 42(C).
    14. Himounet, Nicolas, 2022. "Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks," International Economics, Elsevier, vol. 170(C), pages 1-31.
    15. Karanasos, M. & Yfanti, S., 2021. "On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    16. Vera Z. Eichenauer & Ronald Indergand & Isabel Z. Martínez & Christoph Sax, 2022. "Obtaining consistent time series from Google Trends," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 694-705, April.
    17. Giraldo, Carlos & Giraldo, Iader & Gomez-Gonzalez, Jose E. & Uribe, Jorge M., 2025. "US uncertainty shocks, credit, production, and prices: The case of fourteen Latin American countries," Research in International Business and Finance, Elsevier, vol. 78(C).
    18. Nicolas Himounet, 2022. "Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks," Post-Print hal-05113023, HAL.
    19. Fungáčová, Zuzana & Kerola, Eeva & Weill, Laurent, 2024. "European banks are not immune to national elections," BOFIT Discussion Papers 4/2024, Bank of Finland Institute for Emerging Economies (BOFIT).
    20. Michele Costola & Matteo Iacopini & Carlo R. M. A. Santagiustina, 2020. "Public Concern and the Financial Markets during the COVID-19 outbreak," Papers 2005.06796, arXiv.org.
    21. Bae, Siye & Jo, Soojin & Shim, Myungkyu, 2023. "United States of Mind under Uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 102-127.
    22. Bełej Mirosław, 2024. "Exploring Public Interest in Limited-Use Areas and Compensation from Airports in Poland: A Google Trends Analysis," Real Estate Management and Valuation, Paradigm, vol. 32(3), pages 64-76.
    23. Michele Costola & Michael Donadelli & Luca Gerotto & Ivan Gufler, 2022. "Global risks, the macroeconomy, and asset prices," Empirical Economics, Springer, vol. 63(5), pages 2357-2388, November.
    24. Azqueta-Gavaldon, Andres, 2023. "Political referenda and investment: Evidence from Scotland," European Journal of Political Economy, Elsevier, vol. 80(C).
    25. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," CESifo Working Paper Series 7900, CESifo.
    26. Beckmann, Joscha, 2021. "Measurement and effects of euro/dollar exchange rate uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 773-790.
    27. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia & Brzeszczyński, Janusz, 2025. "Energy in turmoil: Industry resilience to uncertainty during the global energy crisis," Applied Energy, Elsevier, vol. 389(C).
    28. Nicolas Himounet & Francisco Serranito & Julien Vauday, 2021. "Uncertainty is bad for Business. Really?," Working Papers 2021.03, International Network for Economic Research - INFER.
    29. Bhattacharjee, Arnab & Kohns, David, 2022. "Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model," National Institute of Economic and Social Research (NIESR) Discussion Papers 538, National Institute of Economic and Social Research.
    30. Neilson Anak Teruki & Zainuddin Sabu & Saizal Pinjaman & Robert Abraham Mojolou & Shairil Izwan Taasim, 2025. "Ringgit Malaysia Uncertainty Spillover from Google Trends Uncertainty," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 9(15), pages 367-372, March.
    31. Fangzhou Xie, 2020. "Pruned Wasserstein Index Generation Model and wigpy Package," Papers 2004.00999, arXiv.org, revised Jul 2020.
    32. Aakriti Mathur & Rajeswari Sengupta & Bhanu Pratap, 2022. "Saved by the bell? Equity market responses to surprise Covid-19 lockdowns and central bank interventions," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2022-001, Indira Gandhi Institute of Development Research, Mumbai, India.
    33. Bilgin, Mehmet Huseyin & Demir, Ender & Gozgor, Giray & Karabulut, Gokhan & Kaya, Huseyin, 2019. "A novel index of macroeconomic uncertainty for Turkey based on Google-Trends," Economics Letters, Elsevier, vol. 184(C).
    34. Heyert, Axelle & Weill, Laurent, 2024. "Does distrust in banks reduce bank risk-taking?," Finance Research Letters, Elsevier, vol. 68(C).
    35. Gutiérrez, Antonio, 2022. "Movilidad urbana y datos de alta frecuencia [Urban mobility and high frequency data]," MPRA Paper 114854, University Library of Munich, Germany.
    36. Hakan Yilmazkuday, 2021. "Unequal Unemployment Effects of COVID-19 and Monetary Policy across U.S. States," Working Papers 2102, Florida International University, Department of Economics.
    37. Spyridon Boikos & Eirini Makantasi & Theodore Panagiotidis, 2023. "Macroeconomic Uncertainty Indices for European Countries," Notas Económicas, Faculty of Economics, University of Coimbra, issue 57, pages 7-56, December.
    38. Donadelli, Michael & Gerotto, Luca, 2019. "Non-macro-based Google searches, uncertainty, and real economic activity," Research in International Business and Finance, Elsevier, vol. 48(C), pages 111-142.
    39. Yuqian Zhang, 2023. "Using Google Trends to track the global interest in International Financial Reporting Standards: Evidence from big data," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(2), pages 87-100, April.
    40. Saltzman, Bennett & Yung, Julieta, 2018. "A machine learning approach to identifying different types of uncertainty," Economics Letters, Elsevier, vol. 171(C), pages 58-62.
    41. Mehwish Aziz Khan & Eatzaz Ahmad, 2018. "Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan," Sustainability, MDPI, vol. 11(1), pages 1-20, December.
    42. Puhr, Harald & Müllner, Jakob, 2024. "Vox populi, vox dei: A concept and measure for grassroots socio-political risk using Google Trends," Journal of International Management, Elsevier, vol. 30(2).
    43. Cebrián, Eduardo & Domenech, Josep, 2024. "Addressing Google Trends inconsistencies," Technological Forecasting and Social Change, Elsevier, vol. 202(C).
    44. Catalina Bolancé & Carlos Alberto Acuña & Salvador Torra, 2022. "Non-Normal Market Losses and Spatial Dependence Using Uncertainty Indices," Mathematics, MDPI, vol. 10(8), pages 1-23, April.
    45. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2024. "Google search trends and stock markets: Sentiment, attention or uncertainty?," International Review of Financial Analysis, Elsevier, vol. 91(C).
    46. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    47. Efrem Castelnuovo & Guay Lim & Giovanni Pellegrino, 2018. "Macroeconomic Policies in a Low Interest Rate Environment: Back to Keynes?," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(1), pages 70-86, March.
    48. Fangzhou Xie, 2019. "Wasserstein Index Generation Model: Automatic Generation of Time-series Index with Application to Economic Policy Uncertainty," Papers 1908.04369, arXiv.org, revised Nov 2019.
    49. Dirk Lindebaum & Christine Moser & Gazi Islam, 2024. "Big Data, Proxies, Algorithmic Decision‐Making and the Future of Management Theory," Journal of Management Studies, Wiley Blackwell, vol. 61(6), pages 2724-2747, September.
    50. Zhang, Wei & He, Jie & Ge, Chanyuan & Xue, Rui, 2022. "Real-time macroeconomic monitoring using mixed frequency data: Evidence from China," Economic Modelling, Elsevier, vol. 117(C).
    51. Vo, Duc Hong & Tran, Minh Phuoc-Bao, 2024. "Volatility spillovers between energy and agriculture markets during the ongoing food & energy crisis: Does uncertainty from the Russo-Ukrainian conflict matter?," Technological Forecasting and Social Change, Elsevier, vol. 208(C).
    52. Catalano, Michele & Forni, Lorenzo, 2025. "A news-based macro uncertainty index for Italy," Journal of International Money and Finance, Elsevier, vol. 157(C).
    53. Giovanni Angelini & Maria Elena Bontempi & Luca De Angelis & Paolo Neri & Marco Maria Sorge, 2025. "Shocking concerns: public perception about climate change and the macroeconomy," Papers 2505.04669, arXiv.org.
    54. Zhang, Yuanyuan & Chan, Stephen & Lord, Nicholas & Chu, Jeffrey & Yang, Hanfang & Chandrashekhar, Durga & Liao, Xin & Li, Qin, 2025. "Network transitions in the cryptocurrency market: The impact of regional conflicts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 680(C).
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    56. Fabrizio Ferriani & Andrea Gazzani, 2021. "Financial condition indices for emerging market economies: can Google help?," Questioni di Economia e Finanza (Occasional Papers) 653, Bank of Italy, Economic Research and International Relations Area.
    57. Efrem Castelnuovo & Guay C. Lim, 2018. "What Do We Know about the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers," CESifo Working Paper Series 7366, CESifo.
    58. Umut Burak Geyikci, 2021. "The Impact of Covid-19 and Crude Oil Price on Economic Policy Uncertainty; Evidence From an Emerging Market Economy," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 36(115), pages 103-118, April.
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    60. Ademmer, Martin & Beckmann, Joscha & Bode, Eckhardt & Boysen-Hogrefe, Jens & Funke, Manuel & Hauber, Philipp & Heidland, Tobias & Hinz, Julian & Jannsen, Nils & Kooths, Stefan & Söder, Mareike & Stame, 2021. "Big Data in der makroökonomischen Analyse," Kieler Beiträge zur Wirtschaftspolitik 32, Kiel Institute for the World Economy.
    61. Marc Gronwald & Sania Wadud & Kingsley Dogah, 2024. "Oil Market Efficiency, Quantity of Information, and Oil Market Turbulence," CESifo Working Paper Series 10995, CESifo.
    62. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Melbourne Institute Working Paper Series wp2019n05, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    63. Abakah, Emmanuel Joel Aikins & Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko, 2021. "Economic policy uncertainty: Persistence and cross-country linkages," Research in International Business and Finance, Elsevier, vol. 58(C).
    64. Szczygielski, Jan Jakub & Brzeszczyński, Janusz & Charteris, Ailie & Bwanya, Princess Rutendo, 2022. "The COVID-19 storm and the energy sector: The impact and role of uncertainty," Energy Economics, Elsevier, vol. 109(C).
    65. Xiaopeng Zou & Jiawei Hu, 2025. "The dynamic connectedness between macroeconomic uncertainty and commodity volatility: evidence from China," Applied Economics, Taylor & Francis Journals, vol. 57(2), pages 169-190, January.
    66. Lee, Kiryoung & Choi, Eunseon & Kim, Minki, 2023. "Twitter-based Chinese economic policy uncertainty," Finance Research Letters, Elsevier, vol. 53(C).
    67. Nektarios Aslanidis & Aurelio F. Bariviera & 'Oscar G. L'opez, 2021. "The link between Bitcoin and Google Trends attention," Papers 2106.07104, arXiv.org.
    68. Qazi Haque & Leandro M. Magnusson & Kazuki Tomioka, 2021. "Empirical Evidence on the Dynamics of Investment Under Uncertainty in the U.S," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1193-1217, October.
    69. Mathur, Aakriti & Sengupta, Rajeswari & Pratap, Bhanu, 2024. "Equity market responses to surprise Covid-19 lockdowns: The role of pandemic-driven uncertainty," Journal of Asian Economics, Elsevier, vol. 91(C).
    70. David C Vitt, 2020. "Estimating the impact of e-commerce on retail exit and entry using Google Trends," Economics Bulletin, AccessEcon, vol. 40(1), pages 679-688.
    71. Cebreros Alfonso & Salcedo Alejandrina & Chiquiar Daniel & Heffner-Rodríguez Aldo, 2020. "Trade Policy Uncertainty and its Effect on Foreign Direct Investment: Evidence from Mexico," Working Papers 2020-14, Banco de México.
    72. Behera, Sarthak & Sadana, Divya, 2022. "The Impact of Visibility on School Athletic Finances: An Empirical Analysis using Google Trends," MPRA Paper 114818, University Library of Munich, Germany.
    73. Beckmann, Joscha & Davidson, Sharada Nia & Koop, Gary & Schüssler, Rainer, 2023. "Cross-country uncertainty spillovers: Evidence from international survey data," Journal of International Money and Finance, Elsevier, vol. 130(C).
    74. Dai, Peng-Fei & Xiong, Xiong & Zhang, Jin & Zhou, Wei-Xing, 2022. "The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model," Resources Policy, Elsevier, vol. 78(C).
    75. Donadelli, Michael & Gufler, Ivan & Pellizzari, Paolo, 2020. "The macro and asset pricing implications of rising Italian uncertainty: Evidence from a novel news-based macroeconomic policy uncertainty index," Economics Letters, Elsevier, vol. 197(C).
    76. Lolić, Ivana & Matošec, Marina & Sorić, Petar, 2024. "DIY google trends indicators in social sciences: A methodological note," Technology in Society, Elsevier, vol. 77(C).
    77. Xiaoyue Chen & Bin Li & Andrew C. Worthington, 2022. "Economic uncertainty and Australian stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(3), pages 3441-3474, September.
    78. Diana Petrova & Pavel Trunin, 2023. "Estimation of Economic Policy Uncertainty," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 48-61, September.
    79. Szczygielski, Jan Jakub & Bwanya, Princess Rutendo & Charteris, Ailie & Brzeszczyński, Janusz, 2021. "The only certainty is uncertainty: An analysis of the impact of COVID-19 uncertainty on regional stock markets," Finance Research Letters, Elsevier, vol. 43(C).
    80. Bucci, Andrea & Palomba, Giulio & Rossi, Eduardo, 2023. "The role of uncertainty in forecasting volatility comovements across stock markets," Economic Modelling, Elsevier, vol. 125(C).
    81. Aras, Serkan & Özdemir, Mehmet Ozan & Çılgın, Cihan, 2025. "Uncertainty or investor attention: Which has more impact on Bitcoin volatility?," Research in International Business and Finance, Elsevier, vol. 77(PB).
    82. Michael Ryan, 2020. "An Anchor in Stormy Seas: Does Reforming Economic Institutions Reduce Uncertainty? Evidence from New Zealand," Working Papers in Economics 20/11, University of Waikato.
    83. Gabriel Caldas Montes & Victor Maia, 2023. "The reaction of disagreements in inflation expectations to fiscal sentiment obtained from information in official communiqués," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 828-859, October.
    84. Dai, Peng-Fei & Xiong, Xiong & Zhou, Wei-Xing, 2021. "A global economic policy uncertainty index from principal component analysis," Finance Research Letters, Elsevier, vol. 40(C).
    85. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019. "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series 8000, CESifo.
    86. Mohammed Benlemlih & Imane El Ouadghiri & Jamil Jaballah & Jonathan Peillex, 2026. "Public Attention to Gender Equality and Stock Market Returns," Gender, Work and Organization, Wiley Blackwell, vol. 33(3), pages 900-918, May.
    87. Georgios Garafas, 2022. "The nexus between unemployment and Covid-19 vaccine in the U.S. Evidence from Google trends," Journal of Behavioral Economics for Policy, Society for the Advancement of Behavioral Economics (SABE), vol. 6(1), pages 27-32, December.
    88. Donadelli, Michael & Gerotto, Luca, 2025. "Who is Googling Trump’s tariffs—And why that matters," Economics Letters, Elsevier, vol. 255(C).
    89. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2022. "The impact and role of COVID-19 uncertainty: A global industry analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    90. Paponpat Taveeapiradeecharoen & Nattapol Aunsri, 2025. "Forecasting in small open emerging economies Evidence from Thailand," Papers 2509.14805, arXiv.org.
    91. Tosapol Apaitan & Pongsak Luangaram & Pym Manopimoke, 2022. "Uncertainty in an emerging market economy: evidence from Thailand," Empirical Economics, Springer, vol. 62(3), pages 933-989, March.
    92. Kyoto Yono & Hiroki Sakaji & Hiroyasu Matsushima & Takashi Shimada & Kiyoshi Izumi, 2020. "Construction of Macroeconomic Uncertainty Indices for Financial Market Analysis Using a Supervised Topic Model," JRFM, MDPI, vol. 13(4), pages 1-18, April.
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    98. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia & Brzeszczyński, Janusz, 2024. "Capturing the timing of crisis evolution: A machine learning and directional wavelet coherence approach to isolating event-specific uncertainty using Google searches with an application to COVID-19," Technological Forecasting and Social Change, Elsevier, vol. 205(C).
    99. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," Melbourne Institute Working Paper Series wp2019n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    100. Lingwen, Kong & Hanye, Gu & Runxiang, Xu & Yang, Zhiguo, 2025. "Firm-level perception of uncertainty and corporate default risk: Evidence from China’s listed firms," Economic Analysis and Policy, Elsevier, vol. 88(C), pages 1082-1096.
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    103. V. D. Milovidov, 2024. "Investor Sentiment and Stock Market Dynamics: Ways to Forecast Stock Prices," Studies on Russian Economic Development, Springer, vol. 35(4), pages 518-529, August.

  30. Efrem Castelnuovo & Giovanni Pellegrino, 2017. "Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation," CESifo Working Paper Series 6821, CESifo.

    Cited by:

    1. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.
    2. Caggiano, Giovanni & Castelnuovo, Efrem & Damette, Olivier & Parent, Antoine & Pellegrino, Giovanni, 2017. "Liquidity traps and large-scale financial crises," Journal of Economic Dynamics and Control, Elsevier, vol. 81(C), pages 99-114.
    3. Sangyup Choi & Chansik Yoon, 2019. "Uncertainty, Financial Markets, and Monetary Policy over the Last Century," Working papers 2019rwp-142, Yonsei University, Yonsei Economics Research Institute.
    4. Isaac Baley & Andrés Blanco, 2019. "Aggregate dynamics in lumpy economies," Economics Working Papers 1670, Department of Economics and Business, Universitat Pompeu Fabra.
    5. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2024. "Spillover effects of US monetary policy on emerging markets amidst uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
    6. Johnson Worlanyo Ahiadorme, 2022. "On the aggregate effects of global uncertainty: Evidence from an emerging economy," South African Journal of Economics, Economic Society of South Africa, vol. 90(3), pages 390-407, September.
    7. Valentin Grob & Gabriel Züllig, 2024. "Corporate leverage and the effects of monetary policy on investment: A reconciliation of micro and macro elasticities," IRENE Working Papers 24-04, IRENE Institute of Economic Research.
    8. Freund, L. B & Rendahl, P., 2020. "Unexpected Effects: Uncertainty, Unemployment, and Inflation," Cambridge Working Papers in Economics 2035, Faculty of Economics, University of Cambridge.
    9. Aye, G.C. & Clance, M. & Gupta, R., 2018. "The Effectiveness of Monetary and Fiscal Policy Shocks on U.S. Inequality: The Role of Uncertainty," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277037, International Association of Agricultural Economists.
    10. Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye, 2023. "Monetary Policy Effectiveness in the Face of Uncertainty: The Real Macroeconomic Impact of a Monetary Policy Shock in South Africa during High and Low Uncertainty States," Working Papers 202331, University of Pretoria, Department of Economics.
    11. Magnus Reif, 2018. "Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates," ifo Working Paper Series 265, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    12. Aguiar-Conraria, Luís & Martins, Manuel M. F. & Soares, Maria Joana, 2019. "The Phillips Curve at 60: time for time and frequency," Bank of Finland Research Discussion Papers 12/2019, Bank of Finland.
    13. Tillmann, Peter, 2021. "Financial markets and dissent in the ECB’s Governing Council," European Economic Review, Elsevier, vol. 139(C).
    14. Alessandri, Piergiorgio & Bottero, Margherita, 2020. "Bank lending in uncertain times," European Economic Review, Elsevier, vol. 128(C).
    15. George J. Bratsiotis & Konstantinos Theodoridis, 2020. "Precautionary Liquidity Shocks, Excess Reserves and Business Cycles," Economics Discussion Paper Series 2014, Economics, The University of Manchester.
    16. Vania Esady, 2019. "Real and Nominal Effects of Monetary Shocks under Time-Varying Disagreement," CESifo Working Paper Series 7956, CESifo.
    17. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," CESifo Working Paper Series 7900, CESifo.
    18. Herwartz, Helmut & Rohloff, Hannes, 2018. "Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment," University of Göttingen Working Papers in Economics 358, University of Goettingen, Department of Economics.
    19. Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir & Gurcan Aygun & Mark E. Wohar, 2022. "Effectiveness of monetary policy under the high and low economic uncertainty states: evidence from the major Asian economies," Empirical Economics, Springer, vol. 63(4), pages 1741-1769, October.
    20. Olajide O. Oyadeyi, 2024. "Macroeconomic Uncertainty and Sectoral Output in Nigeria," Economies, MDPI, vol. 12(11), pages 1-41, November.
    21. Canales, Mario & Lopez-Martin, Bernabe, 2024. "Exchange rates, uncertainty, and price-setting: Evidence from CPI microdata," Economic Modelling, Elsevier, vol. 139(C).
    22. Hiroshi Morita & Ryo Matsumoto & Taiki Ono, 2025. "Central bank information effects in Japan: the role of uncertainty channel," Empirical Economics, Springer, vol. 68(2), pages 855-877, February.
    23. Alessandri, Piergiorgio & Jordà, Òscar & Venditti, Fabrizio, 2025. "Decomposing the monetary policy multiplier," Journal of Monetary Economics, Elsevier, vol. 152(C).
    24. Gabriel Arce‐Alfaro & Boris Blagov, 2023. "Monetary Policy Uncertainty and Inflation Expectations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 70-94, February.
    25. Toni Beutler & Matthias Gubler & Simona Hauri & Sylvia Kaufmann, 2020. "Bank lending in Switzerland: Capturing cross-sectional heterogeneity and asymmetry over time," Working Papers 20.04, Swiss National Bank, Study Center Gerzensee.
    26. Hasan, Iftekhar & Kwak, Boreum & Li, Xiang, 2024. "Financial technologies and the effectiveness of monetary policy transmission," European Economic Review, Elsevier, vol. 161(C).
    27. Wang, Zhi & Peng, Xingxing, 2025. "How monetary policy and supply chain shocks impact the consumer energy prices using nonlinear ARDL and wavelet coherence approach," Energy Economics, Elsevier, vol. 147(C).
    28. Beutler, Toni & Gubler, Matthias & Hauri, Simona & Kaufmann, Sylvia, 2021. "Bank lending in Switzerland: Driven by business models and exposed to uncertainty," International Review of Financial Analysis, Elsevier, vol. 78(C).
    29. Giovanni Pellegrino, 2020. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Economics Working Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
    30. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    31. Efrem Castelnuovo & Guay Lim & Giovanni Pellegrino, 2018. "Macroeconomic Policies in a Low Interest Rate Environment: Back to Keynes?," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(1), pages 70-86, March.
    32. Aguirre, Idoia & Vázquez, Jesús, 2020. "Learning, parameter variability, and swings in US macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 66(C).
    33. Benjamin Born & Johannes Pfeifer, 2021. "Uncertainty‐driven business cycles: Assessing the markup channel," Quantitative Economics, Econometric Society, vol. 12(2), pages 587-623, May.
    34. Matsumoto, Ryo & Morita, Hiroshi & Ono, Taiki, 2022. "Central Bank Information Effects in Japan : The Role of Uncertainty Channel," Discussion paper series HIAS-E-126, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    35. Costantini, Mauro & Sousa, Ricardo M., 2022. "What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality," Journal of International Money and Finance, Elsevier, vol. 122(C).
    36. Josué Diwambuena & Jean-Paul K. Tsasa, 2021. "The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models," BEMPS - Bozen Economics & Management Paper Series BEMPS87, Faculty of Economics and Management at the Free University of Bozen.
    37. Martin M. Andreasen & Mads Dang, 2019. "Estimating the Price Markup in the New Keynesian Model," CREATES Research Papers 2019-03, Department of Economics and Business Economics, Aarhus University.
    38. Julius Loermann, 2018. "The Impact of CHF/EUR Exchange Rate Uncertainty on Swiss Exports to the Eurozone: Evidence from a Threshold VAR," FIW Working Paper series 189, FIW, revised Feb 2019.
    39. Efrem Castelnuovo & Guay C. Lim, 2018. "What Do We Know about the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers," CESifo Working Paper Series 7366, CESifo.
    40. Haroon Mumtaz & Michele Piffer, 2022. "Impulse response estimation via flexible local projections," Papers 2204.13150, arXiv.org.
    41. Murgia, Lucia M., 2020. "The effect of monetary policy shocks on macroeconomic variables: Evidence from the Eurozone," Economics Letters, Elsevier, vol. 186(C).
    42. Rangan Gupta & Mark Wohar, 2019. "The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data," Economics and Business Letters, Oviedo University Press, vol. 8(3), pages 138-146.
    43. Arigoni, Filippo & Lenarčič, Črt, 2023. "Foreign economic policy uncertainty shocks and real activity in the Euro area," MPRA Paper 120022, University Library of Munich, Germany.
    44. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Melbourne Institute Working Paper Series wp2019n05, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    45. Lu, Jiajun & Lv, Linying & Wang, Yizhong & Zhu, Yueteng, 2025. "The real effect of monetary policy under uncertainty: Evidence from the change in corporate financing purposes," Journal of Banking & Finance, Elsevier, vol. 172(C).
    46. Haroon Mumtaz & Michele Piffer, 2022. "Impulse response estimation via fexible local projections," Working Papers 938, Queen Mary University of London, School of Economics and Finance.
    47. Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87, April.
    48. Mario Canales & Bernabe Lopez-Martin, 2021. "Uncertainty, Risk, and Price-Setting: Evidence from CPI Microdata," Working Papers Central Bank of Chile 908, Central Bank of Chile.
    49. Julius Loermann, 2021. "The impact of CHF/EUR exchange rate uncertainty on Swiss exports to the Eurozone: evidence from a threshold VAR," Empirical Economics, Springer, vol. 60(3), pages 1363-1385, March.
    50. Ugwu Ephraim & Ehinomen Christopher, 2024. "Macroeconomic Policy Coordination and Economic Growth Uncertainty in West Africa," Folia Oeconomica Stetinensia, Paradigm, vol. 24(1), pages 203-226.
    51. Kamalyan, Hayk & Davtyan, Vahagn, 2022. "Exchange Rate Uncertainty and Business Cycle Fluctuations," MPRA Paper 113443, University Library of Munich, Germany.
    52. Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2023. "The Phillips curve at 65: Time for time and frequency," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    53. Lien, Donald & Sun, Yuchen & Zhang, Chengsi, 2021. "Uncertainty, confidence, and monetary policy in China," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1347-1358.
    54. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2020. "Uncertainty and monetary policy in good and bad times: A replication of the VAR investigation by Bloom (2009)," "Marco Fanno" Working Papers 0261, Dipartimento di Scienze Economiche "Marco Fanno".
    55. Salha Ben Salem & Moez Labidi, 2024. "Financial friction and optimal monetary policy: analysis of DSGE model with financial friction and price sticky," SN Business & Economics, Springer, vol. 4(7), pages 1-24, July.
    56. SYED, Sarfaraz Ali Shah, 2021. "Heterogeneous consumers in the Euro-Area, facing homogeneous monetary policy: Tale of two large economies," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    57. Saten Kumar & Yuriy Gorodnichenko & Olivier Coibion, 2023. "The Effect of Macroeconomic Uncertainty on Firm Decisions," Econometrica, Econometric Society, vol. 91(4), pages 1297-1332, July.
    58. Quelhas, João, 2022. "Monetary Policy Uncertainty and its impact on the real economy: Empirical Evidence from the Euro area," MPRA Paper 113621, University Library of Munich, Germany, revised May 2022.
    59. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2022. "Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009)," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 210-217, January.
    60. Mariia A. Elkina, 2021. "Financial Repression And Transmission Of Macroeconomic Shocks In A DSGE Model With Financial Frictions," HSE Working papers WP BRP 246/EC/2021, National Research University Higher School of Economics.
    61. Bruce Preston, 2017. "Discussion of Is Monetary Policy Less Effective When Interest Rates Are Persistently Low?," RBA Annual Conference Volume (Discontinued), in: Jonathan Hambur & John Simon (ed.),Monetary Policy and Financial Stability in a World of Low Interest Rates, Reserve Bank of Australia.
    62. Shang, Fei, 2022. "The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    63. Giuliano Queiroz Ferreira & Leonardo Bornacki Mattos, 2022. "Regime-dependent price puzzle in the Brazilian economy: evidence from VAR and FAVAR approaches," SN Business & Economics, Springer, vol. 2(9), pages 1-28, September.
    64. Yildirim, Zekeriya & Guloglu, Hasan, 2024. "Macro-financial transmission of global oil shocks to BRIC countries — International financial (uncertainty) conditions matter," Energy, Elsevier, vol. 306(C).
    65. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," Melbourne Institute Working Paper Series wp2019n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    66. Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2022. "On the international co-movement of natural interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    67. Chen, Peng & Miao, Xinru & Tee, Kai-Hong, 2023. "Do gold prices respond more to uncertainty shocks at the zero lower bound?," Resources Policy, Elsevier, vol. 86(PA).
    68. Min Fang, 2021. "Lumpy Investment, Fluctuations in Volatility and Monetary Policy," Working Papers 002001, University of Florida, Department of Economics.
    69. Asis Kumar Sahu & Byomakesh Debata & Paras Sachdeva, 2025. "Monetary policy, stock market and inflation amid economic uncertainty: Fresh evidence from an emerging market (the Indian case)," International Review of Finance, International Review of Finance Ltd., vol. 25(2), June.
    70. Xiao-Li Gong & Jin-Yan Lu & Xiong Xiong & Wei Zhang, 2022. "Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-22, December.
    71. Albrizio, Silvia & Choi, Sangyup & Furceri, Davide & Yoon, Chansik, 2020. "International bank lending channel of monetary policy," Journal of International Money and Finance, Elsevier, vol. 102(C).
    72. Park, Kwangyong, 2023. "Do more frequent price adjustments guarantee less effective monetary stimulus when uncertainty rises?," Journal of Macroeconomics, Elsevier, vol. 78(C).
    73. Corrêa, Wilson Luiz Rotatori & Lopes, Luckas Sabioni, 2023. "Monetary policy transmission, productive activity, and inflation in Brazil: Does uncertainty matter?," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    74. Arce-Alfaro, Gabriel & Blagov, Boris, 2021. "Monetary policy uncertainty and inflation expectations," Ruhr Economic Papers 899, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    75. Vania Esady, 2022. "Real and nominal effects of monetary shocks under time-varying disagreement," Bank of England Staff Working Paper series 1007, Bank of England.

  31. Caggiano, Giovanni & Castelnuovo, Efrem & Nodari, Gabriela, 2017. "Uncertainty and monetary policy in good and bad times," Bank of Finland Research Discussion Papers 8/2017, Bank of Finland.

    Cited by:

    1. Rangan Gupta & Chi Keung Marco Lau & Mark E. Wohar, 2016. "The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model," Working Papers 201681, University of Pretoria, Department of Economics.
    2. Zulquar Nain & Bandi Kamaiah, 2020. "Uncertainty and Effectiveness of Monetary Policy: A Bayesian Markov Switching-VAR Analysis," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 237-265.
    3. Fergus Cumming & Paul Hubert, 2019. "The role of households' borrowing constraints in the transmission of monetary policy," Sciences Po Economics Publications (main) hal-03403257, HAL.
    4. Christou, Christina & Gupta, Rangan, 2020. "Forecasting equity premium in a panel of OECD countries: The role of economic policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 243-248.
    5. Pedro Costa Ferreira & Raíra Marotta B. Vieira & Felipi Bruno Silva & Ingrid C. L. Oliveira, 2019. "Measuring Brazilian Economic Uncertainty," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 15(1), pages 25-40, April.
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    14. Herwartz, Helmut & Rohloff, Hannes, 2018. "Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment," University of Göttingen Working Papers in Economics 358, University of Goettingen, Department of Economics.
    15. Britta Gehrke & Brigitte Hochmuth, 2021. "Counteracting Unemployment in Crises: Non‐Linear Effects of Short‐Time Work Policy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(1), pages 144-183, January.
    16. Mehmet Balcilar & Riza Demirer & Rangan Gupta & Reneé van Eyden, 2016. "Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty," Working Papers 201620, University of Pretoria, Department of Economics.
    17. Priya, Pragati & Sharma, Chandan, 2025. "The uncertainty-driven channel of monetary transmission on household consumption: the role of households’ balance sheet positions," International Review of Economics & Finance, Elsevier, vol. 103(C).
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    19. Bennani, Hamza & Kranz, Tobias & Neuenkirch, Matthias, 2018. "Disagreement between FOMC members and the Fed’s staff: New insights based on a counterfactual interest rate," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 139-153.
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    23. Giovanni Pellegrino, 2020. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Economics Working Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
    24. Efrem Castelnuovo & Giovanni Pellegrino, 2018. "Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation," "Marco Fanno" Working Papers 0219, Dipartimento di Scienze Economiche "Marco Fanno".
    25. Chak Hung Jack Cheng & Ching-Wai (Jeremy) Chiu, 2016. "Nonlinearities of mortgage spreads over the business cycles," Bank of England Staff Working Paper series 634, Bank of England.
    26. Prüser, Jan & Schlösser, Alexander, 2018. "On the time-varying effects of economic policy uncertainty on the US economy," Ruhr Economic Papers 761, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    27. Rifai Afin, 2023. "Interlinka Terlinkage of M GE of Macroeconomic Uncer Croeconomic Uncertainty and Macroeconomic Performance: Evidence from Asean-5 Countries Panel VAR," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 26(1), pages 39-68, March.
    28. Kristina Bluwstein & Julieta Yung, 2019. "Back to the real economy: the effects of risk perception shocks on the term premium and bank lending," Bank of England Staff Working Paper series 806, Bank of England.
    29. Giovanni Caggiano & Efrem Castelnuovo & Olivier Damette & Antoine Parent & Giovanni Pellegrino, 2016. "Liquidity Traps and Large-Scale Financial Crises," Melbourne Institute Working Paper Series wp2016n32, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    30. Tosapol Apaitan & Pongsak Luangaram & Pym Manopimoke, 2020. "Uncertainty and Economic Activity: Does it Matter for Thailand?," PIER Discussion Papers 130, Puey Ungphakorn Institute for Economic Research.
    31. Oh, Eun Young & Magkonis, Georgios & Zhang, Shuonan, 2026. "Dynamics of monetary policy regimes in China under rising global uncertainty: A time-varying approach," Finance Research Letters, Elsevier, vol. 92(C).
    32. Efrem Castelnuovo & Guay C. Lim, 2018. "What Do We Know about the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers," CESifo Working Paper Series 7366, CESifo.
    33. Laura E. Jackson & Kevin L. Kliesen & Michael T. Owyang, 2018. "The Nonlinear Effects of Uncertainty Shocks," Working Papers 2018-035, Federal Reserve Bank of St. Louis.
    34. Rangan Gupta & Mark Wohar, 2019. "The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data," Economics and Business Letters, Oviedo University Press, vol. 8(3), pages 138-146.
    35. Christian Pierdzioch & Rangan Gupta, 2017. "Uncertainty and Forecasts of U.S. Recessions," Working Papers 201732, University of Pretoria, Department of Economics.
    36. Liang, Chin Chia & Troy, Carol & Rouyer, Ellen, 2020. "U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    37. Pellegrino, Giovanni, 2018. "Uncertainty and the real effects of monetary policy shocks in the Euro area," Economics Letters, Elsevier, vol. 162(C), pages 177-181.
    38. Balcilar, Mehmet & Thompson, Kirsten & Gupta, Rangan & van Eyden, Reneé, 2016. "Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 30-43.
    39. Gupta, Rangan & Ma, Jun & Risse, Marian & Wohar, Mark E., 2018. "Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 317-337.
    40. Isaac Baley & Julio Blanco, 2019. "Aggregate Dynamics in Lumpy Economies," 2019 Meeting Papers 903, Society for Economic Dynamics.
    41. Andrés Blanco & Isaac Baley, 2016. "Menu Costs, Uncertainty Cycles, and the Propagation of Nominal Shocks," Working Papers 918, Barcelona School of Economics.
    42. Schüler, Yves S., 2020. "The impact of uncertainty and certainty shocks," Discussion Papers 14/2020, Deutsche Bundesbank.
    43. Bennani, Hamza, 2018. "Media coverage and ECB policy-making: Evidence from an augmented Taylor rule," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 26-38.
    44. Fergus Cumming & Paul Hubert, 2019. "The Role of Households' Borrowing Constraints in the Transmission of Monetary Policy This paper investigates how the transmission of monetary policy to the real economy depends on the distribution of household debt. Using an original loan-level datas," Documents de Travail de l'OFCE 2019-20, Observatoire Francais des Conjonctures Economiques (OFCE).
    45. Michael Ryan, 2020. "An Anchor in Stormy Seas: Does Reforming Economic Institutions Reduce Uncertainty? Evidence from New Zealand," Working Papers in Economics 20/11, University of Waikato.
    46. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2016. "Forecasting US GNP Growth: The Role of Uncertainty," Working Papers 201667, University of Pretoria, Department of Economics.
    47. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2017. "Estimating the real effects of uncertainty shocks at the Zero Lower Bound," European Economic Review, Elsevier, vol. 100(C), pages 257-272.
    48. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times," IZA Discussion Papers 13274, IZA Network @ LISER.
    49. Hauzenberger, Niko & Pfarrhofer, Michael & Stelzer, Anna, 2021. "On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 822-845.
    50. Ralf Fendel & Nicola Mai & Oliver Mohr, 2019. "The Shape of Eurozone’s Uncertainty: Its Impact and Predictive Value on GDP," WHU Working Paper Series - Economics Group 19-01, WHU - Otto Beisheim School of Management.
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    52. Shang, Fei, 2022. "The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    53. Corinna Ghirelli & María Gil & Javier J. Pérez & Alberto Urtasun, 2021. "Measuring economic and economic policy uncertainty and their macroeconomic effects: the case of Spain," Empirical Economics, Springer, vol. 60(2), pages 869-892, February.
    54. Ralf Fendel & Nicola Mai & Oliver Mohr, 2020. "The Shape of Eurozone’s Uncertainty: Its Impact and Predictive Value on GDP," Applied Economics and Finance, Redfame publishing, vol. 7(6), pages 1-18, December.
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    58. Bogdan Dima & Ștefana Maria Dima, 2024. "The non-linear impact of monetary policy on shifts in economic policy uncertainty: evidence from the United States of America," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(3), pages 755-781, August.
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  32. Emanuele Bacchiocchi & Efrem Castelnuovo & Luca Fanelli, 2016. "Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S," Melbourne Institute Working Paper Series wp2016n31, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.

    Cited by:

    1. Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with heteroskedasticity: A review of different volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 2-18.
    2. Georgios Georgiadis & Martina Jancokova, 2017. "Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks," Globalization Institute Working Papers 314, Federal Reserve Bank of Dallas.
    3. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2017. "Uncertainty and Monetary Policy in Good and Bad Times," Melbourne Institute Working Paper Series wp2017n09, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.

  33. Efrem Castelnuovo, 2016. "Modest Macroeconomic Effects of Monetary Policy Shocks during the Great Moderation: An Alternative Interpretation," Melbourne Institute Working Paper Series wp2016n30, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.

    Cited by:

    1. Caggiano, Giovanni & Castelnuovo, Efrem & Damette, Olivier & Parent, Antoine & Pellegrino, Giovanni, 2017. "Liquidity traps and large-scale financial crises," Journal of Economic Dynamics and Control, Elsevier, vol. 81(C), pages 99-114.
    2. Firmin Doko Tchatoka & Qazi Haque, 2021. "Revisiting the macroeconomic effects of monetary policy shocks," Adelaide Economics Working Papers 2021-02 Classification-E3, Adelaide University, School of Economics.
    3. Angelini, Giovanni & Sorge, Marco M., 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    4. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
    5. Ravenna, Federico & Pellegrino, Giovanni & Züllig, Gabriel, 2020. "The Impact of Pessimistic Expectations on the Effects of COVID-19-Induced Uncertainty in the Euro Area," CEPR Discussion Papers 15321, Centre for Economic Policy Research.

  34. Giovanni Caggiano & Efrem Castelnuovo & Nicolas Groshenny, 2014. "Uncertainty shocks and unemployment dynamics in U.S. recessions," Post-Print hal-04204716, HAL.

    Cited by:

    1. Sheen, Jeffrey & Wang, Ben Zhe, 2021. "Measuring macroeconomic disagreement – A mixed frequency approach," Journal of Economic Behavior & Organization, Elsevier, vol. 189(C), pages 547-566.
    2. Chatterjee Pratiti, 2019. "Asymmetric impact of uncertainty in recessions: are emerging countries more vulnerable?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(2), pages 1-27, April.
    3. Ali, Sara & Badshah, Ihsan & Demirer, Riza & Hegde, Prasad, 2022. "Economic policy uncertainty and institutional investment returns: The case of New Zealand," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    4. Kovalenko, Tim, 2021. "Uncertainty shocks and employment fluctuations in Germany: The role of establishment size," Discussion Papers 119, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Labour and Regional Economics.
    5. Carlo Pizzinelli & Konstantinos Theodoridis & Francesco Zanetti, 2020. "State Dependence In Labor Market Fluctuations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(3), pages 1027-1072, August.
    6. Rangan Gupta & Chi Keung Marco Lau & Mark E. Wohar, 2016. "The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model," Working Papers 201681, University of Pretoria, Department of Economics.
    7. Chang, Kuang-Liang, 2021. "Do U.S. and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    8. Mitchener, Kris & Lopez, Jose A., 2018. "Uncertainty and Hyperinflation: European Inflation Dynamics after World War I," CEPR Discussion Papers 12951, Centre for Economic Policy Research.
    9. Angus Moore, 2016. "Measuring Economic Uncertainty and Its Effects," RBA Research Discussion Papers rdp2016-01, Reserve Bank of Australia.
    10. de la Horra, Luis P. & Perote, Javier & de la Fuente, Gabriel, 2021. "Monetary policy and corporate investment: A panel-data analysis of transmission mechanisms in contexts of high uncertainty," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 609-624.
    11. Elder, John & Payne, James E., 2024. "Oil price uncertainty shocks and the gender gap in U.S. unemployment," Energy Economics, Elsevier, vol. 131(C).
    12. Laurent Ferrara & Pierre Guérin, 2016. "What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks," Staff Working Papers 16-25, Bank of Canada.
    13. Xiaojing Xu, 2024. "RETRACTED ARTICLE: Examining the impact of global uncertainty shocks on the digital economy's role in China's energy transition and green economic recovery," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-25, April.
    14. Hauzenberger, Niko & Böck, Maximilian & Pfarrhofer, Michael & Stelzer, Anna & Zens, Gregor, 2018. "Implications of Macroeconomic Volatility in the Euro Area," Department of Economics Working Paper Series 6246, WU Vienna University of Economics and Business.
    15. Christou, Christina & Gupta, Rangan, 2020. "Forecasting equity premium in a panel of OECD countries: The role of economic policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 243-248.
    16. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2023. "Global impacts of US monetary policy uncertainty shocks," Journal of International Economics, Elsevier, vol. 145(C).
    17. Sandra Eickmeier & Norbert Metiu & Esteban Prieto, 2016. "Time-Varying Volatility, Financial Intermediation and Monetary Policy," CAMA Working Papers 2016-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    18. Sangyup Choi & Chansik Yoon, 2019. "Uncertainty, Financial Markets, and Monetary Policy over the Last Century," Working papers 2019rwp-142, Yonsei University, Yonsei Economics Research Institute.
    19. Ana Beatriz Galvão & Michael T. Owyang, 2018. "Financial Stress Regimes and the Macroeconomy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(7), pages 1479-1505, October.
    20. Chiang, Thomas C., 2021. "Spillovers of U.S. market volatility and monetary policy uncertainty to global stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    21. Laurent Ferrara & Stéphane Lhuissier & Fabien Tripier, 2017. "Uncertainty Fluctuations: Measures, Effects and Macroeconomic Policy Challenges," CEPII Policy Brief 2017-20, CEPII research center.
    22. Forni, Mario & Gambetti, Luca & Sala, Luca, 2021. "Downside and Upside Uncertainty Shocks," CEPR Discussion Papers 15881, Centre for Economic Policy Research.
    23. Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," "Marco Fanno" Working Papers 0220, Dipartimento di Scienze Economiche "Marco Fanno".
    24. Bonciani, Dario, 2015. "Estimating the effects of uncertainty over the business cycle," MPRA Paper 65921, University Library of Munich, Germany.
    25. Antonin Aviat & Frédérique Bec & Claude Diebolt & Catherine Doz & Denis Ferrand & Laurent Ferrara & Eric Heyer & Valérie Mignon & Pierre-Alain Pionnier, 2021. "Dating business cycles in France: A reference chronology," Working Papers 08-21, Association Française de Cliométrie (AFC).
    26. Alessandri, Piergiorgio & Mumtaz, Haroon, 2019. "Financial regimes and uncertainty shocks," Journal of Monetary Economics, Elsevier, vol. 101(C), pages 31-46.
    27. Luca Gambetti & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2023. "Agreed and Disagreed Uncertainty," Working Papers 2023_04, Business School - Economics, University of Glasgow.
    28. Siye Bae & Soojin Jo & Myungkyu Shim, 2025. "Does Economic Policy Uncertainty differ from other uncertainty measures? Replication of Baker, Bloom, and Davis (2016)," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 58(1), pages 40-74, February.
    29. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2024. "Spillover effects of US monetary policy on emerging markets amidst uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
    30. Robert F. Mulligan, 2016. "An Empirical Comparison of Canadian-American Business Cycle Fluctuations with Special Reference to the Phillips Curve," Advances in Austrian Economics, in: Studies in Austrian Macroeconomics, volume 20, pages 163-194, Emerald Group Publishing Limited.
    31. Saygin Sahinoz & Evren Erdogan Cosar, 2020. "Quantifying uncertainty and identifying its impacts on the Turkish economy," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(2), pages 365-387, May.
    32. Pierdzioch Christian & Gupta Rangan, 2020. "Uncertainty and Forecasts of U.S. Recessions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-20, September.
    33. Al-Thaqeb, Saud Asaad & Algharabali, Barrak Ghanim, 2019. "Economic policy uncertainty: A literature review," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    34. Efrem Castelnuovo & Guay Lim & Giovanni Pellegrino, 2017. "A Short Review of the Recent Literature on Uncertainty," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 50(1), pages 68-78, March.
    35. Hoang, Dung Phuong & Chu, Lan Khanh & To, Trung Thanh, 2023. "How do economic policy uncertainty, geopolitical risk, and natural resources rents affect economic complexity? Evidence from advanced and emerging market economies," Resources Policy, Elsevier, vol. 85(PA).
    36. Stéphane Lhuissier & Fabien Tripier, 2016. "Do Uncertainty Shocks Always Matter for Business Cycles?," Working Papers 2016-19, CEPII research center.
    37. Ameet Kumar & Muhammad Ramzan Kalhoro & Rakesh Kumar & Niaz Hussain Ghumro & Sarfraz Ahmed Dakhan & Vikesh Kumar, 2020. "Decomposing the Effect of Domestic and Foreign Economic Policy Uncertainty Shocks on Real and Financial Sectors: Evidence from BRIC Countries," JRFM, MDPI, vol. 13(12), pages 1-23, December.
    38. Maria Ghani & Usman Ghani, 2024. "Economic Policy Uncertainty and Emerging Stock Market Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 165-181, March.
    39. Michele Piffer & Maximilian Podstawski, 2017. "Identifying Uncertainty Shocks Using the Price of Gold," CESifo Working Paper Series 6327, CESifo.
    40. Amritkant MISHRA, 2024. "Do Economic Policy Uncertainty Have Ramifications On Inflation And Stock Market Performance? Evidence From Global Framework," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 19(3), pages 172-190, December.
    41. Jannsen, Nils & Potjagailo, Galina & Wolters, Maik, 2015. "Monetary Policy during Financial Crises: Is the Transmission Mechanism Impaired?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113096, Verein für Socialpolitik / German Economic Association.
    42. Salah A. Nusair, 2025. "Economic policy uncertainty and industrial output in the G7 countries: an asymmetric analysis," Economic Change and Restructuring, Springer, vol. 58(5), pages 1-40, October.
    43. Anh D.M.Nguyen & Luisanna Onnis & Raffaele Rossi, 2017. "The Macroeconomic Effects of Income and Consumption Tax Changes," Working Papers 2017008, The University of Sheffield, Department of Economics.
    44. Maria Elena Bontempi & Michele Frigeri & Roberto Golinelli & Matteo Squadrani, 2021. "EURQ: A New Web Search‐based Uncertainty Index," Economica, London School of Economics and Political Science, vol. 88(352), pages 969-1015, October.
    45. Choi, Sangyup & Furceri, Davide & Huang, Yi & Loungani, Prakash, 2018. "Aggregate uncertainty and sectoral productivity growth: The role of credit constraints," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 314-330.
    46. Shovon Sengupta & Sunny Kumar Singh & Tanujit Chakraborty, 2025. "Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks," Papers 2510.23347, arXiv.org.
    47. Joshua C.C. Chan & Yong Song, 2018. "Measuring Inflation Expectations Uncertainty Using High‐Frequency Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1139-1166, September.
    48. Magnus Reif, 2018. "Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates," ifo Working Paper Series 265, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    49. Yu‐Fan Huang & Sui Luo, 2020. "Can Stock Volatility Be Benign? New Measurements and Macroeconomic Implications," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 933-950, June.
    50. Deniz AYTAÇ, 2023. "Global Economic Policy Uncertainty and Energy Prices: A Markov-Switching VAR Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 40-61, October.
    51. Choi, Sangyup & Furceri, Davide & Yoo, Seung Yong, 2024. "Heterogeneity in the effects of uncertainty shocks on labor market dynamics and extensive vs. intensive margins of adjustment," Journal of Economic Dynamics and Control, Elsevier, vol. 162(C).
    52. S M Woahid Murad & Arifur Rahman, 2025. "Governance Quality Under Economic Uncertainty: Global Insights," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 58(3), pages 181-198, September.
    53. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Aygun, Gurcan & Wohar, Mark E., 2022. "The macroeconomic impact of economic uncertainty and financial shocks under low and high financial stress," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    54. Guérin, Pierre & Suntheim, Felix, 2021. "Firms’ environmental performance and the COVID-19 crisis," Economics Letters, Elsevier, vol. 205(C).
    55. Idriss Fontaine, 2021. "Uncertainty and Labour Force Participation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(2), pages 437-471, April.
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    58. Supipi Hansika & Priyan Navamohan & Dinuli Gamage & Ridmi Madurawala & Ruwan Jayathilaka, 2025. "Economic uncertainty: a worldwide concern, a causal and cointegrating analysis among high uncertainty countries," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-19, December.
    59. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," "Marco Fanno" Working Papers 0234, Dipartimento di Scienze Economiche "Marco Fanno".
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  35. Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2014. "Estimating fiscal multipliers: evidence from a nonlinear world," "Marco Fanno" Working Papers 0179, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Marco Bernardini & Gert Peersman, 2015. "Private Debt Overhang And The Government Spending Multiplier: Evidence For The United States," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 15/901, Ghent University, Faculty of Economics and Business Administration.
    2. Şen, Hüseyin & Kaya, Ayşe, 2015. "Growth enhancing effect of discretionary fiscal policy shocks: Keynesian, Weak Keynesian or Non-Keynesian?," MPRA Paper 65976, University Library of Munich, Germany, revised 05 Aug 2015.
    3. Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," "Marco Fanno" Working Papers 0220, Dipartimento di Scienze Economiche "Marco Fanno".
    4. Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2018. "Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound," "Marco Fanno" Working Papers 0222, Dipartimento di Scienze Economiche "Marco Fanno".
    5. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2014. "Uncertainty and Monetary Policy in Good and Bad Times," "Marco Fanno" Working Papers 0188, Dipartimento di Scienze Economiche "Marco Fanno".
    6. Ernst, Ekkehard & Semmler, Willi & Haider, Alexander, 2017. "Debt-deflation, financial market stress and regime change – Evidence from Europe using MRVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 81(C), pages 115-139.
    7. Keränen, Henri & Kuusi, Tero, 2016. "The EU’s Fiscal Targets and Their Economic Impact in Finland," ETLA Working Papers 33, The Research Institute of the Finnish Economy.
    8. Klein, Mathias & Winkler, Roland, 2017. "Austerity, Inequality, and Private Debt Overhang," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168076, Verein für Socialpolitik / German Economic Association.
    9. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2016. "Signals from the government: Policy disagreement and the transmission of fiscal shocks," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 107-118.
    10. Bao H. NGUYEN & Tatsuyoshi OKIMOTO, 2017. "Asymmetric Reactions of the U.S. Natural Gas Market and Economic Activity," Discussion papers 17102, Research Institute of Economy, Trade and Industry (RIETI).
    11. Semmler, Willi & Haider, Alexander, 2015. "The perils of debt deflation in the euro area: A multi regime model," ZEW Discussion Papers 15-071, ZEW - Leibniz Centre for European Economic Research.
    12. Barnichon, Regis & Matthes, Christian, 2016. "Understanding the Size of the Government Spending Multiplier: It's in the Sign," CEPR Discussion Papers 11373, Centre for Economic Policy Research.
    13. Alberto Alesina & Gualtiero Azzalini & Carlo Favero & Francesco Giavazzi & Armando Miano, 2016. "Is it the "How" or the "When" that Matters in Fiscal Adjustments?," NBER Working Papers 22863, National Bureau of Economic Research, Inc.
    14. Mirdala, Rajmund & Kameník, Martin, 2017. "Effects of Fiscal Policy Shocks in CE3 Countries (TVAR Approach)," MPRA Paper 79918, University Library of Munich, Germany.
    15. Şen, Hüseyin & Kaya, Ayşe, 2017. "How large are fiscal multipliers in Turkey?," EconStor Preprints 162763, ZBW - Leibniz Information Centre for Economics.
    16. Kevin Lee & James Morley & Kian Ong & Kalvinder Shields, 2018. "Measuring the fiscal multiplier when plans take time to implement," Discussion Papers 2018/10, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    17. Chak Hung Jack Cheng & Ching-Wai (Jeremy) Chiu, 2016. "Nonlinearities of mortgage spreads over the business cycles," Bank of England Staff Working Paper series 634, Bank of England.
    18. Gehrke, Britta & Hochmuth, Brigitte, 2018. "Counteracting Unemployment in Crises: Non-Linear Effects of Short-Time Work Policy," IZA Discussion Papers 11472, IZA Network @ LISER.
    19. Giovanni Pellegrino, 2017. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Melbourne Institute Working Paper Series wp2017n06, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    20. Giovanni Caggiano & Efrem Castelnuovo & Olivier Damette & Antoine Parent & Giovanni Pellegrino, 2016. "Liquidity Traps and Large-Scale Financial Crises," Melbourne Institute Working Paper Series wp2016n32, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    21. Grudter, Vanessa & Aragon, Edilean Kleber, 2017. "Multiplicador dos gastos do governo em períodos de expansão e recessão: evidências empíricas para o Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 71(3), September.
    22. Cristian Marian BARBU, 2017. "About Opportunity of Fiscal Relaxation and Wage Increase in Romania or What is Like to be Caught on the Wrong Foot," Research in Applied Economics, Macrothink Institute, vol. 9(2), pages 32-48, June.
    23. Mark Setterfield, 2015. "Time variation in the size of the multiplier: a Kalecki-Harrod approach," Working Papers 1522, New School for Social Research, Department of Economics, revised Jan 2017.
    24. Dell'Erba, Salvatore & Koloskova, Ksenia & Poplawski-Ribeiro, Marcos, 2018. "Medium-term fiscal multipliers during protracted economic contractions," Journal of Macroeconomics, Elsevier, vol. 56(C), pages 35-52.
    25. Mario Alloza, 2014. "Is Fiscal Policy More Effective in Uncertain Times or During Recessions?," Discussion Papers 1631, Centre for Macroeconomics (CFM), revised Oct 2016.
    26. Mario DI SERIO & Matteo FRAGETTA & Emanuel GASTEIGER, 2017. "The Government Spending Multiplier at the Zero Lower Bound: Evidence from the United States," CELPE Discussion Papers 150, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy.
    27. Klein, Mathias & Winkler, Roland, 2018. "The Government Spending Multiplier at the Zero Lower Bound: International Evidence from Historical Data," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181524, Verein für Socialpolitik / German Economic Association.
    28. Ricco, Giovanni, 2015. "A new identification of fiscal shocks based on the information flow," Working Paper Series 1813, European Central Bank.
    29. Favero, Carlo A. & Karamysheva, Madina, 2015. "What Do We Know About Fiscal Multipliers?," CEPR Discussion Papers 10986, Centre for Economic Policy Research.
    30. Marco Bernardini & Selien De Schryder & Gert Peersman, 2017. "Heterogeneous Government Spending Multipliers In The Era Surrounding The Great Recession," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 17/941, Ghent University, Faculty of Economics and Business Administration.
    31. Boubaker, Sabri & Nguyen, Duc Khuong & Paltalidis, Nikos, 2016. "Fiscal Policy Interventions at the Zero Lower Bound," MPRA Paper 84673, University Library of Munich, Germany, revised Aug 2017.
    32. Steven M. Fazzari & James Morley & Irina B. Panovska, 2017. "When Do Discretionary Changes in Government Spending or Taxes Have Larger Effects?," Discussion Papers 2017-04, School of Economics, The University of New South Wales.
    33. Nelimarkka, Jaakko, 2017. "The effects of government spending under anticipation: the noncausal VAR approach," MPRA Paper 81303, University Library of Munich, Germany.
    34. Hjelm, Göran & Stockhammar, Pär, 2016. "Short Run Effects of Fiscal Policy on GDP and Employment: Swedish Evidence," Working Papers 147, National Institute of Economic Research.
    35. Valerie A. Ramey & Sarah Zubairy, 2014. "Government Spending Multipliers in Good Times and in Bad: Evidence from U.S. Historical Data," NBER Working Papers 20719, National Bureau of Economic Research, Inc.
    36. Atanas Pekanov, 2018. "The New View on Fiscal Policy and its Implications for the European Monetary Union," WIFO Working Papers 562, WIFO.
    37. Ryuzo MIYAO & Tatsuyoshi OKIMOTO, 2017. "The Macroeconomic Effects of Japan's Unconventional Monetary Policies," Discussion papers 17065, Research Institute of Economy, Trade and Industry (RIETI).
    38. Ellahie, Atif & Ricco, Giovanni, 2017. "Government Purchases Reloaded : Informational Insufficiency and Heterogeneity in Fiscal VARs," The Warwick Economics Research Paper Series (TWERPS) 1138, University of Warwick, Department of Economics.

  36. Efrem Castelnuovo & Luca Fanelli, 2014. "Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from a Robust Test," Melbourne Institute Working Paper Series wp2014n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.

    Cited by:

    1. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.
    2. Khalaf, Lynda & Lin, Zhenjiang, 2021. "Projection-based inference with particle swarm optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    3. Dave, Chetan & Sorge, Marco M., 2020. "Sunspot-driven fat tails: A note," Economics Letters, Elsevier, vol. 193(C).
    4. Angelini, Giovanni & Gorgi, Paolo, 2018. "DSGE Models with observation-driven time-varying volatility," Economics Letters, Elsevier, vol. 171(C), pages 169-171.
    5. Giovanni Angelini & Luca Fanelli & Marco M. Sorge, 2025. "Is Time an Illusion? A Bootstrap Likelihood Ratio Test for Shock Transmission Delays in DSGE Models," Computational Economics, Springer;Society for Computational Economics, vol. 65(5), pages 2477-2503, May.
    6. Haque, Qazi & Magnusson, Leandro M., 2021. "Uncertainty shocks and inflation dynamics in the U.S," Economics Letters, Elsevier, vol. 202(C).
    7. Bernd Funovits, 2020. "The Dimension of the Set of Causal Solutions of Linear Multivariate Rational Expectations Models," Papers 2002.04369, arXiv.org.
    8. Meinen, Philipp & Röhe, Oke, 2018. "To sign or not to sign? On the response of prices to financial and uncertainty shocks," Discussion Papers 33/2018, Deutsche Bundesbank.
    9. Giovanni Angelini & Marco M. Sorge, 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Working Papers wp1160, Dipartimento Scienze Economiche, Universita' di Bologna.
    10. Efrem Castelnuovo, 2016. "Modest Macroeconomic Effects of Monetary Policy Shocks during the Great Moderation: An Alternative Interpretation," Melbourne Institute Working Paper Series wp2016n30, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    11. Angelini, Giovanni, 2020. "Bootstrap lag selection in DSGE models with expectations correction," Econometrics and Statistics, Elsevier, vol. 14(C), pages 38-48.
    12. Jinshun Wu & Luyao Wu, 2024. "Bayesian Local Likelihood Estimation of Time-Varying DSGE Models: Allowing for Indeterminacy," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2437-2476, October.
    13. Luca Fanelli & Marco M. Sorge, 2015. "Indeterminacy, Misspecification and Forecastability: Good Luck in Bad Policy?," CSEF Working Papers 402, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    14. Roger E.A. Farmer & Vadim Khramov & Giovanni Nicolò, 2013. "Solving and Estimating Indeterminate DSGE Models," NBER Working Papers 19457, National Bureau of Economic Research, Inc.
    15. Guido Ascari & Paolo Bonomolo & Hedibert F. Lopes, 2016. "Rational Sunspots," Business and Economics Working Papers 226, Unidade de Negocios e Economia, Insper.
    16. Chan, Joshua C.C. & Eisenstat, Eric, 2018. "Comparing hybrid time-varying parameter VARs," Economics Letters, Elsevier, vol. 171(C), pages 1-5.
    17. Krogh, Tord S., 2015. "Macro frictions and theoretical identification of the New Keynesian Phillips curve," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 191-204.
    18. Caggiano, Giovanni & Castelnuovo, Efrem & Nodari, Gabriela, 2018. "Risk management-driven policy rate gap," Economics Letters, Elsevier, vol. 171(C), pages 235-238.
    19. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Melbourne Institute Working Paper Series wp2019n05, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    20. Giovanni Angelini & Luca Fanelli, 2016. "Misspecification and Expectations Correction in New Keynesian DSGE Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(5), pages 623-649, October.
    21. Fanelli, Luca & Sorge, Marco M., 2017. "Indeterminate forecast accuracy under indeterminacy," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 57-70.
    22. Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2022. "Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 3-22, January.
    23. Giovanni Angelini & Paolo Gorgi, 2018. "DSGE Models with Observation-Driven Time-Varying parameters," Tinbergen Institute Discussion Papers 18-030/III, Tinbergen Institute.

  37. Jonas E. Arias & Guido Ascari & Nicola Branzoli & Efrem Castelnuovo, 2014. "Monetary Policy, Trend Inflation and the Great Moderation: An Alternative Interpretation - Comment," International Finance Discussion Papers 1127, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Nlemfu Mukoko, Jean Blaise, 2016. "On the Welfare Costs of Monetary Policy," MPRA Paper 72479, University Library of Munich, Germany, revised Jul 2016.
    2. Firmin Doko Tchatoka & Nicolas Groshenny & Qazi Haque & Mark Weder, 2016. "Monetary Policy and Indeterminacy after the 2001 Slump," Adelaide Economics Working Papers 2016-09, Adelaide University, School of Economics.
    3. Bianchi, Francesco & Nicolo, Giovanni, 2017. "A Generalized Approach to Indeterminacy in Linear Rational Expectations Models," CEPR Discussion Papers 12130, Centre for Economic Policy Research.
    4. Yasuo Hirose & Takushi Kurozumi & Willem Van Zandweghe, 2017. "Monetary Policy and Macroeconomic Stability Revisited," Research Working Paper RWP 17-1, Federal Reserve Bank of Kansas City.
    5. Yasuo Hirose & Takushi Kurozumi & Willem Van Zandweghe, 2015. "Monetary policy, trend inflation, and the Great Moderation: an alternative interpretation: comment based on system estimation," Research Working Paper RWP 15-17, Federal Reserve Bank of Kansas City.

  38. Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2014. "Estimating Fiscal Multipliers: News from a Nonlinear World," Melbourne Institute Working Paper Series wp2014n26, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.

    Cited by:

    1. Caggiano, Giovanni & Castelnuovo, Efrem & Damette, Olivier & Parent, Antoine & Pellegrino, Giovanni, 2017. "Liquidity traps and large-scale financial crises," Journal of Economic Dynamics and Control, Elsevier, vol. 81(C), pages 99-114.
    2. Chris Edmond & Richard Holden & Bruce Preston, 2020. "Should We Worry about Government Debt? Thoughts on Australia's COVID‐19 Response," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 53(4), pages 557-565, December.
    3. Beau Soederhuizen & Rutger Teulings & Rob Luginbuhl, 2023. "Estimating the impact of the financial cycle on fiscal policy," Empirical Economics, Springer, vol. 65(6), pages 2669-2709, December.
    4. Ellahie, Atif & Ricco, Giovanni, 2017. "Government purchases reloaded: Informational insufficiency and heterogeneity in fiscal VARs," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 13-27.
    5. Fotiou, Alexandra, 2022. "Non-linearities in fiscal policy: The role of debt," European Economic Review, Elsevier, vol. 150(C).
    6. Byung Ho Lee & Kwangyong Park, 2023. "External Information and Fiscal Multipliers," Korean Economic Review, Korean Economic Association, vol. 39, pages 347-379.
    7. Jan Čapek & Jesús Crespo Cuaresma, 2020. "We just estimated twenty million fiscal multipliers," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(3), pages 483-502, June.
    8. Şen, Hüseyin & Kaya, Ayşe, 2015. "Growth enhancing effect of discretionary fiscal policy shocks: Keynesian, Weak Keynesian or Non-Keynesian?," MPRA Paper 65976, University Library of Munich, Germany, revised 05 Aug 2015.
    9. Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," "Marco Fanno" Working Papers 0220, Dipartimento di Scienze Economiche "Marco Fanno".
    10. Adalgiso Amendola & Mario di Serio & Matteo Fragetta & Mr. Giovanni Melina, 2019. "The Euro-Area Government Spending Multiplier at the Effective Lower Bound," IMF Working Papers 2019/133, International Monetary Fund.
    11. Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2018. "Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound," "Marco Fanno" Working Papers 0222, Dipartimento di Scienze Economiche "Marco Fanno".
    12. Michael B. Devereux, 2018. "International Fiscal Spillovers: A Review Essay," Korean Economic Review, Korean Economic Association, vol. 34, pages 29-50.
    13. Frangiamore, Francesco & Matarrese, Marco Maria, 2025. "Government spending multipliers and financial fragility in Italy," Economic Modelling, Elsevier, vol. 145(C).
    14. Andrea Boitani & Salvatore Perdichizzi & Chiara Punzo, 2020. "Nonlinearities and expenditure multipliers in the Eurozone," DISCE - Working Papers del Dipartimento di Economia e Finanza def089, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    15. Fabrizio Renzi, 2025. "New evidence on state-dependent fiscal multipliers," Temi di discussione (Economic working papers) 1512, Bank of Italy, Economic Research and International Relations Area.
    16. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2014. "Uncertainty and Monetary Policy in Good and Bad Times," "Marco Fanno" Working Papers 0188, Dipartimento di Scienze Economiche "Marco Fanno".
    17. Klein, Mathias & Winkler, Roland, 2019. "Austerity, inequality, and private debt overhang," European Journal of Political Economy, Elsevier, vol. 57(C), pages 89-106.
    18. Keränen, Henri & Kuusi, Tero, 2016. "The EU’s Fiscal Targets and Their Economic Impact in Finland," ETLA Working Papers 33, The Research Institute of the Finnish Economy.
    19. Markku Lanne & Henri Nyberg, 2016. "Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(4), pages 595-603, August.
    20. Puonti, Päivi, 2016. "Fiscal multipliers in a structural VEC model with mixed normal errors," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 144-154.
    21. Zhang, Wen, 2020. "Political incentives and local government spending multiplier: Evidence for Chinese provinces (1978–2016)," Economic Modelling, Elsevier, vol. 87(C), pages 59-71.
    22. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2016. "Signals from the government: Policy disagreement and the transmission of fiscal shocks," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 107-118.
    23. Giovanni Angelini & Giovanni Caggiano & Efrem Castelnuovo & Luca Fanelli, 2020. "Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?," Working Papers wp1151, Dipartimento Scienze Economiche, Universita' di Bologna.
    24. Bao H. NGUYEN & Tatsuyoshi OKIMOTO, 2017. "Asymmetric Reactions of the U.S. Natural Gas Market and Economic Activity," Discussion papers 17102, Research Institute of Economy, Trade and Industry (RIETI).
    25. Klein, Mathias & Polattimur, Hamza & Winkler, Roland, 2022. "Fiscal spending multipliers over the household leverage cycle," European Economic Review, Elsevier, vol. 141(C).
    26. Nicoletta Batini & Mario di Serio & Matteo Fragetta & Mr. Giovanni Melina, 2021. "Building Back Better: How Big Are Green Spending Multipliers?," IMF Working Papers 2021/087, International Monetary Fund.
    27. Laumer, Sebastian & Schaffer, Matthew, 2025. "Monetary policy transmission under supply chain pressure," European Economic Review, Elsevier, vol. 172(C).
    28. Vito Polito, 2020. "Nonlinear Business Cycle and Optimal Policy: A VSTAR Perspective," CESifo Working Paper Series 8060, CESifo.
    29. Mauro Sayar Ferreira & Berto Carvalho da Silva Jr, 2025. "Fiscal multiplier in Brazil: the role played by controls," Textos para Discussão Cedeplar-UFMG 684, Cedeplar, Universidade Federal de Minas Gerais.
    30. Barnichon, Regis & Matthes, Christian, 2016. "Understanding the Size of the Government Spending Multiplier: It's in the Sign," CEPR Discussion Papers 11373, Centre for Economic Policy Research.
    31. Jelena Reljic & Francesco Zezza, 2024. "Breaking the Divide: Can Public Spending on Social Infrastructure Boost Female Employment in Italy?," Working Papers in Public Economics 246, Department of Economics and Law, Sapienza University of Rome.
    32. Lee, Eun Kyung & Park, Kwangyong, 2021. "Identifying government spending shocks and multipliers in Korea," Journal of Asian Economics, Elsevier, vol. 76(C).
    33. Vania Esady, 2019. "Real and Nominal Effects of Monetary Shocks under Time-Varying Disagreement," CESifo Working Paper Series 7956, CESifo.
    34. Forni, Mario & Gambetti, Luca, 2016. "Government spending shocks in open economy VARs," Journal of International Economics, Elsevier, vol. 99(C), pages 68-84.
    35. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," CESifo Working Paper Series 7900, CESifo.
    36. Alberto Alesina & Gualtiero Azzalini & Carlo Favero & Francesco Giavazzi & Armando Miano, 2016. "Is it the "How" or the "When" that Matters in Fiscal Adjustments?," NBER Working Papers 22863, National Bureau of Economic Research, Inc.
    37. Karamysheva, Madina, 2022. "How do fiscal adjustments work? An empirical investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    38. Giovanna Ciaffi & Matteo Deleidi & Michele Capriati, 2024. "Government spending, multipliers, and public debt sustainability: an empirical assessment for OECD countries," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 41(2), pages 521-542, July.
    39. Britta Gehrke & Brigitte Hochmuth, 2021. "Counteracting Unemployment in Crises: Non‐Linear Effects of Short‐Time Work Policy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(1), pages 144-183, January.
    40. Atanas Pekanov, 2020. "Die Europäische Währungsunion im Wandel," WIFO Monatsberichte (monthly reports), WIFO, vol. 93(3), pages 165-175, March.
    41. Garcia, Pablo & Jacquinot, Pascal & Lenarčič, Črt & Lozej, Matija & Mavromatis, Kostas, 2023. "Global models for a global pandemic: The impact of COVID-19 on small euro area economies," Journal of Macroeconomics, Elsevier, vol. 77(C).
    42. Elton Beqiraj & Milos Ciganovic & Giovanni Di Bartolomeo & Paolo D'Imperio & Cristian Tegami, 2026. "Which Slack Matters for Fiscal Multipliers? Evidence from Italian Aggregate Data," CIMEO Working Paper Series 203, Centre for Investigation and Modelling of Experimental Observations (CIMEO).
    43. Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2020. "Asymmetric Effects of Monetary Policy Easing and Tightening," Center for Economic Research (RECent) 146, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    44. Vogel, Stephen & Miller, Cristina & Ralston, Katherine, 2021. "Impact of USDA's Supplemental Nutrition Assistance Program (SNAP) on Rural and Urban Economies in the Aftermath of the Great Recession," Economic Research Report 327185, United States Department of Agriculture, Economic Research Service.
    45. Adalgiso AMENDOLA & Mario DI SERIO & Matteo FRAGETTA, 2018. "The Government Spending Multiplier at the Zero Lower Bound: Evidence from the Euro Area," CELPE Discussion Papers 153, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy.
    46. Sosvilla-Rivero, Simón & Rubio-Guerrero, Juan J., 2022. "The economic effects of fiscal policy: Further evidence for Spain," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 305-313.
    47. Tuan Ho Quoc & Wenyi Shen, 2026. "The business cycle state‐dependent effects of tax news: A joint‐state analysis," Economic Inquiry, Western Economic Association International, vol. 64(2), pages 702-723, April.
    48. Barbieri Góes, Maria Cristina & Deleidi, Matteo, 2022. "Output determination and autonomous demand multipliers: An empirical investigation for the US economy," Economic Modelling, Elsevier, vol. 116(C).
    49. Cavallari, Lilia & Romano, Simone, 2017. "Fiscal policy in Europe: The importance of making it predictable," Economic Modelling, Elsevier, vol. 60(C), pages 81-97.
    50. IIBOSHI, Hirokuni & IWATA, Yasuharu, 2023. "The Nexus between Public Debt and the Government Spending Multiplier: Fiscal Adjustments Matter," MPRA Paper 116347, University Library of Munich, Germany.
    51. Davide Brignone & Luca Gambetti & Martino Ricci, 2025. "Geopolitical risk shocks: when size matters," Bank of England Staff Working Paper series 1118, Bank of England.
    52. Han, Zhao, 2021. "Low-frequency fiscal uncertainty," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 639-657.
    53. Mario Alloza, 2022. "Is Fiscal Policy More Effective During Recessions?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(3), pages 1271-1292, August.
    54. Mirdala, Rajmund & Kameník, Martin, 2017. "Effects of Fiscal Policy Shocks in CE3 Countries (TVAR Approach)," MPRA Paper 79918, University Library of Munich, Germany.
    55. Marco Bernardini & Selien De Schryder & Gert Peersman, 2020. "Heterogeneous Government Spending Multipliers in the Era Surrounding the Great Recession," The Review of Economics and Statistics, MIT Press, vol. 102(2), pages 304-322, May.
    56. Favero, Carlo A. & ,, 2019. "Austerity and Public debt Dynamics," CEPR Discussion Papers 14072, Centre for Economic Policy Research.
    57. Guido Ascari & Timo Haber, 2019. "Sticky prices and the transmission mechanism of monetary policy: A minimal test of New Keynesian models," Economics Series Working Papers 869, University of Oxford, Department of Economics.
    58. Kang, Jihye & Kim, Soyoung, 2022. "Government spending news and surprise shocks: It’s the timing and persistence," Journal of Macroeconomics, Elsevier, vol. 73(C).
    59. Giovanni Pellegrino, 2020. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Economics Working Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
    60. Haug, Alfred A. & Sznajderska, Anna, 2024. "Government spending multipliers: Is there a difference between government consumption and investment purchases?," Journal of Macroeconomics, Elsevier, vol. 79(C).
    61. Gupta, Mahima & Dubey, Amlendu, 2025. "Structural characteristics and non-linear fiscal multipliers," Economic Systems, Elsevier, vol. 49(1).
    62. Şen, Hüseyin & Kaya, Ayşe, 2017. "How large are fiscal multipliers in Turkey?," EconStor Preprints 162763, ZBW - Leibniz Information Centre for Economics.
    63. Michael Dueker & Laura E. Jackson & Michael T. Owyang & Martin Sola, 2022. "A Time-Varying Threshold STAR Model with Applications," Department of Economics Working Papers 2022_04, Universidad Torcuato Di Tella.
    64. Kevin Lee & James Morley & Kian Ong & Kalvinder Shields, 2018. "Measuring the fiscal multiplier when plans take time to implement," Discussion Papers 2018/10, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    65. Yifei Lyu & Eul Noh, 2022. "Cyclical variation in US government spending multipliers," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 831-846, April.
    66. Sangyup Choi & Davide Furceri & Chansik Yoon, 2021. "International Fiscal-Financial Spillovers:the Effect of Fiscal Shocks on Cross-Border Bank Lending," Open Economies Review, Springer, vol. 32(2), pages 259-290, April.
    67. George Kapetanios & Panagiotis Koutroumpis & Christopher Tsoukis & Ekaterina Glebkina, 2026. "Expansionary and Contractionary Fiscal Multipliers in the United States," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 31(2), pages 2144-2159, April.
    68. Yasuharu Iwata & Hirokuni IIboshi, 2023. "The Nexus between Public Debt and the Government Spending Multiplier: Fiscal Adjustments Matter," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 830-858, August.
    69. Litainas, Michail & McAdam, Peter & Montagnoli, Alberto & Mouratidis, Konstantinos, 2026. "News and surprises: Revisiting fiscal shocks in the open economy," Journal of International Money and Finance, Elsevier, vol. 161(C).
    70. Tomoo Inoue & Tatsuyoshi Okimoto, 2022. "How does unconventional monetary policy affect the global financial markets?," Empirical Economics, Springer, vol. 62(3), pages 1013-1036, March.
    71. Chak Hung Jack Cheng & Ching-Wai (Jeremy) Chiu, 2016. "Nonlinearities of mortgage spreads over the business cycles," Bank of England Staff Working Paper series 634, Bank of England.
    72. Jørgensen, Peter L. & Ravn, Søren H., 2022. "The inflation response to government spending shocks: A fiscal price puzzle?," European Economic Review, Elsevier, vol. 141(C).
    73. Efrem Castelnuovo & Guay Lim & Giovanni Pellegrino, 2018. "Macroeconomic Policies in a Low Interest Rate Environment: Back to Keynes?," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(1), pages 70-86, March.
    74. Simona Lorena Comi & Elena Cottini & Claudio Lucifora, 2020. "The effect of retirement on social relationships: new evidence from SHARE," DISCE - Working Papers del Dipartimento di Economia e Finanza def088, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
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    78. KLEIN, Mathias & WINKLER, Roland, 2018. "The government spending multiplier at the zero lower bound: International evidence from historical data," Working Papers 2018001, University of Antwerp, Faculty of Business and Economics.
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    81. Pascal Goemans & Robinson Kruse‐Becher, 2025. "Time‐Varying US Government Spending Anticipation in Real Time," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(3), pages 867-880, April.
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    83. Haroon Mumtaz & Laura Sunder‐Plassmann, 2021. "Nonlinear effects of government spending shocks in the USA: Evidence from state‐level data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 86-97, January.
    84. Coppola, Gianluigi & Destefanis, Sergio & Di Serio, Mario & Fragetta, Matteo, 2024. "Fiscal multipliers in recession and expansion. An analysis for the Italian regions," Structural Change and Economic Dynamics, Elsevier, vol. 71(C), pages 538-556.
    85. Wen Zhang, 2024. "The evolving international effects of China's government spending," The World Economy, Wiley Blackwell, vol. 47(5), pages 1851-1869, May.
    86. Boubaker, Sabri & Nguyen, Duc Khuong & Paltalidis, Nikos, 2018. "Fiscal policy interventions at the zero lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 297-314.
    87. Grudter, Vanessa & Aragon, Edilean Kleber, 2017. "Multiplicador dos gastos do governo em períodos de expansão e recessão: evidências empíricas para o Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 71(3), September.
    88. Iiboshi, Hirokuni & Iwata, Yasuharu & Kajita, Yuto & Soma, Naoto, 2019. "Time-varying Fiscal Multipliers Identified by Systematic Component: A Bayesian Approach to TVP-SVAR model," MPRA Paper 92631, University Library of Munich, Germany.
    89. Stefano Di Bucchianico & Mario Di Serio & Matteo Fragetta & Giovanni Melina, 2025. "Time-Varying Impacts of Government Spending on CO2 Emissions," CESifo Working Paper Series 11960, CESifo.
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    91. Filippo Arigoni & Miha Breznikar & Črt Lenarčič & Matjaž Maletič, 2025. "Impact of Fiscal Measures in Response to the COVID-19 Pandemic on Small-Open Economies: Lessons from Slovenia," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 51(4), pages 553-582, October.
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    93. Inoue, Atsushi & Rossi, Barbara & Wang, Yiru, 2024. "Local projections in unstable environments," Journal of Econometrics, Elsevier, vol. 244(2).
    94. Efrem Castelnuovo & Guay C. Lim, 2018. "What Do We Know about the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers," CESifo Working Paper Series 7366, CESifo.
    95. Chak Hung Jack Cheng & Ching‐Wai (Jeremy) Chiu, 2020. "Nonlinear Effects of Mortgage Spreads Over the Business Cycle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(6), pages 1593-1611, September.
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    97. Ryuzo Miyao & Tatsuyoshi Okimoto, 2020. "Regime shifts in the effects of Japan’s unconventional monetary policies," Manchester School, University of Manchester, vol. 88(6), pages 749-772, December.
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    103. Rabia Rafique & Asad Nisar & Syed Sadaqat Ali Shah, 2024. "Testing the effects of fiscal policy shocks on output growth in recession and expansion: empirical evidence from developing countries," Economic Change and Restructuring, Springer, vol. 57(3), pages 1-26, June.
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    123. NAM, Deokwoo & LI, Xiaole, 2024. "The Stimulative Effects of Anticipated Government Spending Expansions : Evidence from Survey Forecasts," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 65(1), pages 1-31, June.
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    125. Robert S. Chirinko & Daniel J. Wilson, 2023. "Fiscal Foresight and Perverse Distortions to Firm Behavior: Anticipatory Dips and Compensating Rebounds," Working Paper Series 2021-15, Federal Reserve Bank of San Francisco.
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    128. Iwata, Yasuharu & Iiboshi, Hirokuni, 2020. "Fiscal Adjustments and Debt-Dependent Multipliers: Evidence from the U.S. Time Series," Discussion paper series HIAS-E-103, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    129. Favero, Carlo A. & Karamysheva, Madina, 2015. "What Do We Know About Fiscal Multipliers?," CEPR Discussion Papers 10986, Centre for Economic Policy Research.
    130. Giovanna Ciaffi & Matteo Deleidi & Mariana Mazzucato, 2024. "Measuring the macroeconomic responses to public investment in innovation: evidence from OECD countries," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 33(2), pages 363-382.
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    132. Vagliasindi,Maria & Gorgulu,Nisan, 2021. "What Have We Learned about the Effectiveness of Infrastructure Investment as a FiscalStimulus ? A Literature Review," Policy Research Working Paper Series 9796, The World Bank.
    133. Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni, 2021. "The impact of r-g on Euro-Area government spending multipliers," Journal of International Money and Finance, Elsevier, vol. 119(C).
    134. Steven M. Fazzari & James Morley & Irina B. Panovska, 2017. "When Do Discretionary Changes in Government Spending or Taxes Have Larger Effects?," Discussion Papers 2017-04, School of Economics, The University of New South Wales.
    135. Alfred A. Haug & India Power, 2022. "Government Spending Multipliers in Times of Tight and Loose Monetary Policy in New Zealand," The Economic Record, The Economic Society of Australia, vol. 98(322), pages 249-270, September.
    136. Piger, Jeremy & Stockwell, Thomas, 2025. "Are the effects of monetary policy larger in recessions? A reconciliation of the evidence," The Journal of Economic Asymmetries, Elsevier, vol. 31(C).
    137. Marco Amendola & Marcelo C. Pereira, 2026. "Are fiscal multipliers state-dependent? Insights from an agent-based model," Journal of Evolutionary Economics, Springer, vol. 36(1), pages 1-34, April.
    138. Nelimarkka, Jaakko, 2017. "The effects of government spending under anticipation: the noncausal VAR approach," MPRA Paper 81303, University Library of Munich, Germany.
    139. Hjelm, Göran & Stockhammar, Pär, 2016. "Short Run Effects of Fiscal Policy on GDP and Employment: Swedish Evidence," Working Papers 147, National Institute of Economic Research.
    140. Changchen Ge, 2025. "Discretionary Tax Changes and Macroeconomic Activity: New Narrative Evidence from Australia," The Economic Record, The Economic Society of Australia, vol. 101(335), pages 504-523, December.
    141. Daniel Stodt, 2025. "Non-Linearity of Government Spending Multiplier: The Case of a Small Open Economy," Working Papers 2025/3, Czech National Bank, Research and Statistics Department.
    142. El Mostafa Bentour, 2022. "The effects of public debt accumulation and business cycle on government spending multipliers," Applied Economics, Taylor & Francis Journals, vol. 54(19), pages 2231-2256, April.
    143. Benjamin Egron, 2018. "Réduction du ratio de dette publique : quels instruments pour quels effets ?," Working Papers hal-04141802, HAL.
    144. Goemans, Pascal & Belke, Ansgar, 2019. "Uncertainty and non-linear macroeconomic effects of fiscal policy in the US: A SEIVAR-based analysis," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203538, Verein für Socialpolitik / German Economic Association.
    145. Valerie A. Ramey & Sarah Zubairy, 2018. "Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data," Journal of Political Economy, University of Chicago Press, vol. 126(2), pages 850-901.
    146. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," Melbourne Institute Working Paper Series wp2019n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    147. Atanas Pekanov, 2018. "The New View on Fiscal Policy and its Implications for the European Monetary Union," WIFO Working Papers 562, WIFO.
    148. Ryuzo MIYAO & Tatsuyoshi OKIMOTO, 2017. "The Macroeconomic Effects of Japan's Unconventional Monetary Policies," Discussion papers 17065, Research Institute of Economy, Trade and Industry (RIETI).
    149. Bhadury, Soumya & Ghosh, Saurabh & Gopalakrishnan, Pawan, 2021. "In quest for policy 'silver bullets' towards triggering a v-shaped recovery," MPRA Paper 110905, University Library of Munich, Germany.
    150. Klöcker, Julian Alexander & Daumann, Frank, 2024. "A stochastic-demographic model to explain success and dominance in international sports," Research in Economics, Elsevier, vol. 78(4).
    151. Johannes Hermanus Kemp, 2020. "Empirical estimates of fiscal multipliers for South Africa," WIDER Working Paper Series wp-2020-91, World Institute for Development Economic Research (UNU-WIDER).
    152. Gonçalves, Sílvia & Herrera, Ana María & Kilian, Lutz & Pesavento, Elena, 2024. "State-dependent local projections," Journal of Econometrics, Elsevier, vol. 244(2).
    153. Miaomiao Tao & Jamel Saadaoui & Emilson Silva, 2025. "How Robust Is the Link Between Growth and Fiscal Consolidations Amid Uncertainties? A Reassessment for Sub-Saharan Africa," Working Papers 2025.7, International Network for Economic Research - INFER.
    154. Richard McManus, 2018. "Fiscal Trade‐Offs: The Relationship Between Output and Debt in Policy Interventions," Manchester School, University of Manchester, vol. 86(S1), pages 50-82, September.
    155. Karamé, Frédéric, 2015. "Asymmetries and Markov-switching structural VAR," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 85-102.
    156. Dey, Asim K. & Hoque, G.M. Toufiqul & Das, Kumer P. & Panovska, Irina, 2022. "Impacts of COVID-19 local spread and Google search trend on the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    157. Tao, Miaomiao & Saadaoui, Jamel & Silva, Emilson, 2025. "How robust is the link between growth and fiscal consolidation under global uncertainties? A reassessment for Sub-Saharan Africa," Finance Research Letters, Elsevier, vol. 84(C).
    158. Corrêa, Wilson Luiz Rotatori & Lopes, Luckas Sabioni, 2023. "Monetary policy transmission, productive activity, and inflation in Brazil: Does uncertainty matter?," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    159. Vania Esady, 2022. "Real and nominal effects of monetary shocks under time-varying disagreement," Bank of England Staff Working Paper series 1007, Bank of England.
    160. Alari Paulus & Iva Valentinova Tasseva, 2020. "Europe Through the Crisis: Discretionary Policy Changes and Automatic Stabilizers," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(4), pages 864-888, August.
    161. Min, Feng & Wen, Fenghua & Wang, Xiong, 2022. "Measuring the effects of monetary and fiscal policy shocks on domestic investment in China," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 395-412.
    162. Pascal Goemans, 2022. "Historical evidence for larger government spending multipliers in uncertain times than in slumps," Economic Inquiry, Western Economic Association International, vol. 60(3), pages 1164-1185, July.

  39. Giovanni Caggiano & Efrem Castelnuovo & Nicolas Groshenny, 2013. "Uncertainty Shocks and Unemployment Dynamics: An Analysis of Post-WWII U.S. Recessions," "Marco Fanno" Working Papers 0166, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.
    2. Gabriela Nodari, 2013. "Financial Regulation Policy Uncertainty and Credit Spreads in the U.S," "Marco Fanno" Working Papers 0170, Dipartimento di Scienze Economiche "Marco Fanno".
    3. Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2018. "Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound," "Marco Fanno" Working Papers 0222, Dipartimento di Scienze Economiche "Marco Fanno".
    4. Caggiano, Giovanni & Castelnuovo, Efrem & Groshenny, Nicolas, 2014. "Uncertainty shocks and unemployment dynamics in U.S. recessions," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 78-92.
    5. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2014. "Uncertainty and Monetary Policy in Good and Bad Times," "Marco Fanno" Working Papers 0188, Dipartimento di Scienze Economiche "Marco Fanno".
    6. Colombo, Valentina, 2013. "Economic policy uncertainty in the US: Does it matter for the Euro area?," Economics Letters, Elsevier, vol. 121(1), pages 39-42.
    7. Piergiorgio Alessandri & Antonio M. Conti & Fabrizio Venditti, 2016. "The Financial Stability Dark Side of Monetary Policy," BCAM Working Papers 1601, Birkbeck Centre for Applied Macroeconomics.
    8. Klößner, Stefan & Sekkel, Rodrigo, 2014. "International spillovers of policy uncertainty," Economics Letters, Elsevier, vol. 124(3), pages 508-512.
    9. Alam, Md Rafayet & Istiak, Khandokar, 2020. "Impact of US policy uncertainty on Mexico: Evidence from linear and nonlinear tests," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 355-366.
    10. Soojin Jo & Rodrigo Sekkel, 2017. "Macroeconomic Uncertainty Through the Lens of Professional Forecasters," Working Papers 1702, Federal Reserve Bank of Dallas.
    11. Bonciani, Dario, 2014. "Uncertainty shocks: it's a matter of habit," MPRA Paper 59370, University Library of Munich, Germany.
    12. Amélie Charles & Olivier Darné & Fabien Tripier, 2017. "Uncertainty and the Macroeconomy," Post-Print hal-01549625, HAL.
    13. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2014. "Signals from the Government: Policy Uncertainty and the Transmission of Fiscal Shocks," MPRA Paper 56136, University Library of Munich, Germany.
    14. Efrem Castelnuovo & Trung Duc Tran, 2017. "Google It Up! A Google Trends-based Uncertainty Index for the United States and Australia," CESifo Working Paper Series 6695, CESifo.
    15. Giovanni Caggiano & Efrem Castelnuovo & Olivier Damette & Antoine Parent & Giovanni Pellegrino, 2016. "Liquidity Traps and Large-Scale Financial Crises," Melbourne Institute Working Paper Series wp2016n32, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    16. Knut Are Aastveit & Gisle James Natvik & Sergio Sola, 2013. "Economic uncertainty and the effectiveness of monetary policy," Working Paper 2013/17, Norges Bank.
    17. Mumtaz, Haroon & Surico, Paolo, 2013. "Policy Uncertainty and Aggregate Fluctuations," CEPR Discussion Papers 9694, Centre for Economic Policy Research.
    18. Amélie Charles & Olivier Darné & Fabien Tripier, 2017. "Uncertainty and the Macroeconomy: Evidence from an Uncertainty Composite Indicator," Working Papers 2017-25, CEPII research center.
    19. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2016. "Measuring Uncertainty and Its Impact on the Economy," BAFFI CAREFIN Working Papers 1639, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    20. Helseth, Marius Aleksander Emblem & Krakstad, Svein Olav & Molnár, Peter & Norlin, Karl-Martin, 2020. "Can policy and financial risk predict stock markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 701-719.
    21. Caggiano, Giovanni & Castelnuovo, Efrem & Nodari, Gabriela, 2018. "Risk management-driven policy rate gap," Economics Letters, Elsevier, vol. 171(C), pages 235-238.
    22. Silvia Dal Bianco & Nguyen Cong To Loan, 2017. "FDI Inflows, Price and Exchange Rate Volatility: New Empirical Evidence from Latin America," IJFS, MDPI, vol. 5(1), pages 1-17, February.
    23. Salim Hamza Ringim & Abdulkareem Alhassan & Hasan Güngör & Festus Victor Bekun, 2022. "Economic Policy Uncertainty and Energy Prices: Empirical Evidence from Multivariate DCC-GARCH Models," Energies, MDPI, vol. 15(10), pages 1-18, May.

  40. Efrem Castelnuovo, 2012. "Monetary Policy Neutrality: Sign Restrictions Go to Monte Carlo," "Marco Fanno" Working Papers 0151, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Fusari, Francesco, 2025. "Identifying monetary policy shocks through external constraints," Journal of Macroeconomics, Elsevier, vol. 85(C).
    2. Matteo Luciani & Antoniomaria Conti & Matteo Barigozzi, 2013. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," ULB Institutional Repository 2013/153330, ULB -- Universite Libre de Bruxelles.
    3. Ayhan Kose & Jongrim Ha & Dohan Kim & Prasad,Eswar S., 2024. "Resolving Puzzles of Monetary Policy Transmission in Emerging Markets," Policy Research Working Paper Series 10974, The World Bank.
    4. Herwartz, Helmut & Rohloff, Hannes & Wang, Shu, 2020. "Proxy SVAR identification of monetary policy shocks: MonteCarlo evidence and insights for the US," University of Göttingen Working Papers in Economics 404, University of Goettingen, Department of Economics.
    5. Jakub Matějů, 2019. "What Drives the Strength of Monetary Policy Transmission?," International Journal of Central Banking, International Journal of Central Banking, vol. 15(3), pages 59-87, September.
    6. Bruno Perdigão, 2019. "“Still" an Agnostic Procedure to Identify Monetary Policy Shocks with Sign Restrictions," Working Papers Series 494, Central Bank of Brazil, Research Department.
    7. Herwartz, Helmut & Lange, Alexander & Maxand, Simone, 2019. "Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle," University of Göttingen Working Papers in Economics 375, University of Goettingen, Department of Economics.
    8. Jakub Mateju, 2014. "Explaining the Strength and Efficiency of Monetary Policy Transmission: A Panel of Impulse Responses from a Time-Varying Parameter Model," Working Papers 2014/04, Czech National Bank, Research and Statistics Department.
    9. Helmut Herwartz & Alexander Lange & Simone Maxand, 2022. "Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 668-693, April.
    10. Varang Wiriyawit & Benjamin Wong, 2014. "Structural VARs, Deterministic and Stochastic Trends: Does Detrending Matter?," CAMA Working Papers 2014-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Herwartz, Helmut & Rohloff, Hannes & Wang, Shu, 2022. "Proxy SVAR identification of monetary policy shocks - Monte Carlo evidence and insights for the US," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    12. Jorge Alberto Fornero & Roque Esteban Montero & Andrés J. Yany, 2017. "Reassessing the Effects of Foreign Monetary Policy on Output: New Evidence from Structural and Agnostic Identification Procedures," Investigación Conjunta-Joint Research, in: Ángel Estrada García & Alberto Ortiz Bolaños (ed.), International Spillovers of Monetary Policy, edition 1, chapter 3, pages 31-72, Centro de Estudios Monetarios Latinoamericanos, CEMLA.

  41. Efrem Castelnuovo, 2012. "Fitting U.S. Trend Inflation: A Rolling-Window Approach," "Marco Fanno" Working Papers 0152, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Ilabaca, Francisco & Milani, Fabio, 2021. "Heterogeneous expectations, indeterminacy, and postwar US business cycles," Journal of Macroeconomics, Elsevier, vol. 68(C).
    2. Bekiros, Stelios & Cardani, Roberta & Paccagnini, Alessia & Villa, Stefania, 2016. "Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs," Journal of Financial Stability, Elsevier, vol. 26(C), pages 216-227.
    3. Zams, Bastian Muzbar, 2021. "Frictions and empirical fit in a DSGE model for Indonesia," Economic Modelling, Elsevier, vol. 99(C).
    4. Doko Tchatoka, Firmin & Groshenny, Nicolas & Haque, Qazi & Weder, Mark, 2017. "Monetary policy and indeterminacy after the 2001 slump," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 83-95.
    5. Zamarripa, Rene, 2021. "Estimating the Bank of Mexico’s reaction function in the last three decades: A Bayesian DSGE approach with rolling-windows," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    6. Aguirre, Idoia & Vázquez, Jesús, 2020. "Learning, parameter variability, and swings in US macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 66(C).
    7. Qureshi, Irfan, 2015. "What are monetary policy shocks?," The Warwick Economics Research Paper Series (TWERPS) 1086, University of Warwick, Department of Economics.
    8. Zamarripa, Rene, 2024. "Parameter instabilities and monetary policy in a small open economy: Evidence from an estimated model for the UK," International Review of Economics & Finance, Elsevier, vol. 96(PB).
    9. Cardani, Roberta & Paccagnini, Alessia & Villa, Stefania, 2019. "Forecasting with instabilities: An application to DSGE models with financial frictions," Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
    10. Rangan Gupta & Xiaojin Sun, 2022. "Time-Varying Parameter Four-Equation DSGE Model," Working Papers 202234, University of Pretoria, Department of Economics.
    11. Qureshi, Irfan, "undated". "What are monetary policy shocks?," Economic Research Papers 270008, University of Warwick - Department of Economics.

  42. Efrem Castelnuovo, 2012. "What does a monetary policy shock do? An international analysis with multiple filters," "Marco Fanno" Working Papers 0145, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Weder, Mark & Doko Tchatokay, Firmin & Groshenny, Nicolas & Haque, Qazi, 2016. "Monetary Policy and Indeterminacy after the 2001 Slump," VfS Annual Conference 2016 (Augsburg): Demographic Change 145557, Verein für Socialpolitik / German Economic Association.
    2. Efrem Castelnuovo, 2013. "What does a Monetary Policy Shock Do? An International Analysis with Multiple Filters," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 759-784, October.
    3. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
    4. Cristiano Cantore & Paul Levine & Giovanni Melina, 2014. "Deep versus superficial habit: It’s all in the persistence," School of Economics Discussion Papers 0714, School of Economics, University of Surrey.
    5. Caraiani, Petre, 2015. "Estimating DSGE models across time and frequency," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 33-49.
    6. Jorge Alberto Fornero & Roque Esteban Montero & Andrés J. Yany, 2017. "Reassessing the Effects of Foreign Monetary Policy on Output: New Evidence from Structural and Agnostic Identification Procedures," Investigación Conjunta-Joint Research, in: Ángel Estrada García & Alberto Ortiz Bolaños (ed.), International Spillovers of Monetary Policy, edition 1, chapter 3, pages 31-72, Centro de Estudios Monetarios Latinoamericanos, CEMLA.

  43. Guido Ascari & Nicola Branzoli & Efrem Castelnuovo, 2011. "Trend Inflation, Wage Indexation, and Determinacy in the U.S," Quaderni di Dipartimento 153, University of Pavia, Department of Economics and Quantitative Methods.

    Cited by:

    1. Jonathan A. Attey, 2016. "Time-Varying Degree of Wage Indexation and the New Keynesian Wage Phillips Curve," Tinbergen Institute Discussion Papers 16-102/VI, Tinbergen Institute.
    2. Qazi Haque & Nicolas Groshenny & Mark Weder, 2020. "Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?," Economics Working Papers 2020-10, Department of Economics and Business Economics, Aarhus University.
    3. Lawrence J. Christiano & Martin S. Eichenbaum & Mathias Trabandt, 2013. "Unemployment and Business Cycles," NBER Working Papers 19265, National Bureau of Economic Research, Inc.
    4. Matteo Cacciatore & Fabio Ghironi, 2020. "Trade, Unemployment, and Monetary Policy," NBER Working Papers 27474, National Bureau of Economic Research, Inc.
    5. Guido Ascari & Argia M. Sbordone, 2014. "The Macroeconomics of Trend Inflation," Journal of Economic Literature, American Economic Association, vol. 52(3), pages 679-739, September.
    6. Loberto, Michele & Perricone, Chiara, 2017. "Does trend inflation make a difference?," Economic Modelling, Elsevier, vol. 61(C), pages 351-375.
    7. Julio A. Carrillo & Gert Peersman & Joris Wauters, 2014. "Endogenous Wage Indexation and Aggregate Shocks," CESifo Working Paper Series 4816, CESifo.
    8. Abo-Zaid, Salem, 2013. "Optimal monetary policy and downward nominal wage rigidity in frictional labor markets," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 345-364.
    9. Jonathan A. Attey & Casper G. de Vries, 2016. "Monetary Policy in the Presence of Random Wage Indexation," Tinbergen Institute Discussion Papers 16-086/VI, Tinbergen Institute.
    10. Takushi Kurozumi & Willem Van Zandweghe, 2012. "Firm-specific labor, trend inflation, and equilibrium stability," Research Working Paper RWP 12-09, Federal Reserve Bank of Kansas City.

  44. Efrem Castelnuovo & Luca Fanelli, 2011. "Monetary policy indeterminacy in the U.S.: results from a classical test," Quaderni di Dipartimento 8, Department of Statistics, University of Bologna.

    Cited by:

    1. Gunnar Bårdsen & Luca Fanelli, 2013. "Frequentist evaluation of small DSGE models," Working Paper Series 14113, Department of Economics, Norwegian University of Science and Technology.
    2. Fanelli, Luca, 2012. "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models," Journal of Econometrics, Elsevier, vol. 170(1), pages 153-163.

  45. Efrem CASTELNUOVO, 2010. "Regime Shifts and the Stability of Backward Looking Phillips Curves in Open Economies," EcoMod2004 330600035, EcoMod.

    Cited by:

    1. E. Şimşek & M. Orhan & F. Macit, 2017. "Effect of Government Expenditure on GDP in the Turkish Economy," International Econometric Review (IER), Economic Research Association, vol. 9(2), pages 69-76, September.
    2. Bernd Kempa, 2018. "Taylor Rule Reaction Coefficients And Real Exchange Rate Persistence," Bulletin of Economic Research, Wiley Blackwell, vol. 70(1), pages 64-73, January.
    3. Chen, Changsheng & Girardin, Eric & Mehrotra, Aaron, 2017. "Global slack and open economy Phillips curves – A province-level view from China," China Economic Review, Elsevier, vol. 42(C), pages 74-87.
    4. Malikane, Christopher & Ojah, Kalu, 2014. "Fisher's Relation and the Term Structure: Implications for IS Curves," MPRA Paper 55553, University Library of Munich, Germany.
    5. Smith, Ron, 2009. "EMU and the Lucas Critique," Economic Modelling, Elsevier, vol. 26(4), pages 744-750, July.

  46. E. Castelnuovo & L. Greco & D. Raggi, 2010. "Policy Rules, Regime Switches, and Trend Inflation: An Empirical Investigation for the U.S," Working Papers 691, Dipartimento Scienze Economiche, Universita' di Bologna.

    Cited by:

    1. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.
    2. Luis Uzeda, 2018. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," Staff Working Papers 18-14, Bank of Canada.
    3. Qazi Haque, 2017. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," Adelaide Economics Working Papers 2017-13, Adelaide University, School of Economics.
    4. Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," Adelaide Economics Working Papers 2017-10, Adelaide University, School of Economics.
    5. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Melbourne Institute Working Paper Series wp2019n05, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    6. Max Gillman & Michal Kejak & Giulia Ghiani, 2014. "Money, Banking and Interest Rates: Monetary Policy Regimes with Markov-Switching VECM Evidence," CEU Working Papers 2014_3, Department of Economics, Central European University.
    7. Guido Ascari & Paolo Bonomolo Hedibert F. Lopes, 2016. "Rational Sunspots," Economics Series Working Papers 787, University of Oxford, Department of Economics.
    8. De Lipsis Vincenzo, 2021. "Dating Structural Changes in UK Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(2), pages 509-539, June.

  47. Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in an DSGE model for the US," Bank of Finland Research Discussion Papers 11/2010, Bank of Finland.

    Cited by:

    1. Di Giorgio, Giorgio & Nisticò, Salvatore & Traficante, Guido, 2018. "Government spending and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 55-73.
    2. Marco Airaudo & Salvatore Nisticò & Luis‐Felipe Zanna, 2015. "Learning, Monetary Policy, and Asset Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1273-1307, October.
    3. Paetz, Michael & Gupta, Rangan, 2016. "Stock price dynamics and the business cycle in an estimated DSGE model for South Africa," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 166-182.
    4. Jin, Tao & Kwok, Simon & Zheng, Xin, 2022. "Financial wealth, investment, and confidence in a DSGE model for China," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 114-134.
    5. Hoshino, Satoshi & Ida, Daisuke, 2025. "Stock prices and monetary policy: Analysis of a Bayesian DSGE model," MPRA Paper 124045, University Library of Munich, Germany, revised 21 Mar 2025.
    6. Hoshino, Satoshi & Ida, Daisuke, 2021. "Stock prices and monetary policy in Japan: An analysis of a Bayesian DSGE model," MPRA Paper 107301, University Library of Munich, Germany.
    7. Kostas Mavromatis, 2020. "Finite Horizons and the Monetary/Fiscal Policy Mix," International Journal of Central Banking, International Journal of Central Banking, vol. 16(4), pages 327-378, September.
    8. Di Giorgio, Giorgio & Traficante, Guido, 2018. "Fiscal shocks and helicopter money in open economy," Economic Modelling, Elsevier, vol. 74(C), pages 77-87.
    9. Caggiano, Giovanni & Castelnuovo, Efrem & Groshenny, Nicolas, 2014. "Uncertainty shocks and unemployment dynamics in U.S. recessions," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 78-92.
    10. Lengnick, Matthias & Wohltmann, Hans-Werner, 2011. "Agent-based financial markets and New Keynesian macroeconomics: A synthesis," Economics Working Papers 2011-09, Christian-Albrechts-University of Kiel, Department of Economics.
    11. Hylton Hollander & Guangling Liu, 2013. "The equity price channel in a New-Keynesian DSGE model with financial frictions and banking," Working Papers 16/2013, Stellenbosch University, Department of Economics, revised 2014.
    12. Kai Liu, 2014. "Public Finances, Business Cycles and Structural Fiscal Balances," Cambridge Working Papers in Economics 1411, Faculty of Economics, University of Cambridge.
    13. Katsuhiro Oshima, 2021. "Heterogeneous beliefs, monetary policy, and stock price volatility," Annals of Finance, Springer, vol. 17(1), pages 79-125, March.
    14. Mumtaz, Haroon & Theodoridis, Konstantinos, 2020. "Fiscal policy shocks and stock prices in the United States," European Economic Review, Elsevier, vol. 129(C).
    15. Giovanni Melina & Stefania Villa, 2018. "Leaning Against Windy Bank Lending," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 460-482, January.
    16. Adame Espinosa Francisco, 2023. "Monetary Rules, Financial Stability and Welfare in a non-Ricardian Framework," Working Papers 2023-14, Banco de México.
    17. Annika Camehl & Tomasz Wo'zniak, 2023. "Time-Varying Identification of Monetary Policy Shocks," Papers 2311.05883, arXiv.org, revised May 2024.
    18. Corrado, Luisa & Schuler, Tobias, 2017. "Interbank market failure and macro-prudential policies," Journal of Financial Stability, Elsevier, vol. 33(C), pages 133-149.
    19. Nakata, Taisuke & Ogaki, Ryota & Schmidt, Sebastian & Yoo, Paul, 2019. "Attenuating the forward guidance puzzle: implications for optimal monetary policy," Working Paper Series 2220, European Central Bank.
    20. Efrem Castelnuovo, 2013. "What does a Monetary Policy Shock Do? An International Analysis with Multiple Filters," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 759-784, October.
    21. Massimiliano Rigon & Francesco Zanetti, 2017. "Optimal monetary policy and fiscal interactions in a non-Ricardian economy," Temi di discussione (Economic working papers) 1155, Bank of Italy, Economic Research and International Relations Area.
    22. Taylor, Alan M. & Jordà , Òscar & Schularick, Moritz & Ward, Felix, 2018. "Global financial cycles and risk premiums," CEPR Discussion Papers 12969, Centre for Economic Policy Research.
    23. Giovanni Melina & Stefania Villa, 2023. "Drivers of large recessions and monetary policy responses," Temi di discussione (Economic working papers) 1425, Bank of Italy, Economic Research and International Relations Area.
    24. Nisticò, Salvatore, 2012. "Monetary policy and stock-price dynamics in a DSGE framework," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 126-146.
    25. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," CESifo Working Paper Series 7900, CESifo.
    26. Hylton Hollander & Guangling Liu, 2014. "Credit spread variability in U.S. business cycles: the Great Moderation versus the Great Recession," Working Papers 15/2014, Stellenbosch University, Department of Economics.
    27. Giannitsarou, Chryssi & CHALLE, Edouard, 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," CEPR Discussion Papers 8387, Centre for Economic Policy Research.
    28. Vicente da Gama Machado, 2012. "Monetary Policy, Asset Prices and Adaptive Learning," Working Papers Series 274, Central Bank of Brazil, Research Department.
    29. Garcia, Pablo & Jacquinot, Pascal & Lenarčič, Črt & Lozej, Matija & Mavromatis, Kostas, 2023. "Global models for a global pandemic: The impact of COVID-19 on small euro area economies," Journal of Macroeconomics, Elsevier, vol. 77(C).
    30. Dumas, Bernard & Savioz, Marcel René, 2020. "A Theory of the Nominal Character of Stock Securities," CEPR Discussion Papers 15507, Centre for Economic Policy Research.
    31. Markku Lanne & Mika Meitz & Pentti Saikkonen, 2015. "Identification and estimation of non-Gaussian structural vector autoregressions," CREATES Research Papers 2015-16, Department of Economics and Business Economics, Aarhus University.
    32. Richard Harrison & Ryland Thomas, 2019. "Monetary financing with interest-bearing money," Bank of England Staff Working Paper series 785, Bank of England.
    33. Airaudo, Marco & Cardani, Roberta & Lansing, Kevin J., 2013. "Monetary policy and asset prices with belief-driven fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1453-1478.
    34. Giorgio Di Giorgio & Salvatore Nistico', 2011. "Productivity Shocks, Stabilization Policies and the Dynamics of Net Foreign Assets," Working Papers CASMEF 1101, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    35. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    36. Gerba, Eddie, 2013. "Reconnecting investment to stock markets: the role of corporate net worth evaluation," LSE Research Online Documents on Economics 56396, London School of Economics and Political Science, LSE Library.
    37. Salvatore Nistico', 2011. "Optimal Monetary Policy and Stock-Prices Dynamics in a Non-Ricardian DSGE Model," Working Papers CASMEF 1107, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    38. Lengnick, Matthias & Wohltmann, Hans-Werner, 2014. "Optimal monetary policy in a new Keynesian model with animal spirits and financial markets," Economics Working Papers 2014-12, Christian-Albrechts-University of Kiel, Department of Economics.
    39. Milani, Fabio, 2017. "Learning about the interdependence between the macroeconomy and the stock market," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 223-242.
    40. Joseph Haslag, 2019. "On Processing Central Bank Communications: Can We Account for Fed Watching?," 2019 Meeting Papers 415, Society for Economic Dynamics.
    41. Alice Albonico & Guido Ascari & Alessandro Gobbi, 2018. "The debt multiplier," Working Papers 396, University of Milano-Bicocca, Department of Economics, revised 20 Dec 2018.
    42. Giovanni Caggiano & Efrem Castelnuovo & Olivier Damette & Antoine Parent & Giovanni Pellegrino, 2016. "Liquidity Traps and Large-Scale Financial Crises," Melbourne Institute Working Paper Series wp2016n32, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    43. Benjamin Carton, 2012. "Monetary-Policy Tradeoff in Overlapping Generations DSGE Models," DEM Working Papers Series 028, University of Pavia, Department of Economics and Management.
    44. Shesadri Banerjee & Jayanthi K. Anand & Shashanka Bhide, 2021. "Estimation of Macro-financial Linkages for the Indian Economy," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 20(1), pages 7-47, April.
    45. Bénassy-Quéré, Agnès & Carton, Benjamin & Gauvin, Ludovic, 2013. "China and global rebalancing: A two-country approach," China Economic Review, Elsevier, vol. 26(C), pages 118-139.
    46. Funke, Michael & Paetz, Michael & Pytlarczyk, Ernest, 2011. "Stock market wealth effects in an estimated DSGE model for Hong Kong," Economic Modelling, Elsevier, vol. 28(1), pages 316-334.
    47. Antoine Lepetit, 2022. "The Optimal Inflation Rate with Discount Factor Heterogeneity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(7), pages 1971-1996, October.
    48. Bernard Dumas & Marcel Savioz, 2023. "A Theory of the Nominal Character of Stock Securities," Review of Finance, European Finance Association, vol. 27(5), pages 1615-1657.
    49. Chao Liang & Yanran Hong & Luu Duc Toan Huynh & Feng Ma, 2023. "Asymmetric dynamic risk transmission between financial stress and monetary policy uncertainty: thinking in the post-covid-19 world," Review of Quantitative Finance and Accounting, Springer, vol. 60(4), pages 1543-1567, May.
    50. Herwartz, Helmut & Plödt, Martin, 2014. "Sign restrictions and statistical identification under volatility breaks -- Simulation based evidence and an empirical application to monetary policy analysis," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100326, Verein für Socialpolitik / German Economic Association.
    51. Adame-Espinosa, Francisco, 2025. "“Monetary rules, financial stability and welfare in a non-Ricardian framework”," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 6(4).
    52. Eurilton Araújo, 2016. "Monetary Policy Credibility and the Comovement between Stock Returns and Inflation," Working Papers Series 449, Central Bank of Brazil, Research Department.
    53. Chatziantoniou, Ioannis & Filis, George & Floros, Christos, 2017. "Asset prices regime-switching and the role of inflation targeting monetary policy," Global Finance Journal, Elsevier, vol. 32(C), pages 97-112.
    54. Sahar Bashiri & Mosayeb Pahlavani & Reza Boostani, 2017. "Stock Market Bubbles and Business Cycles: A DSGE Model for the Iranian Economy," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 21(4), pages 969-1002, Autumn.
    55. Alovokpinhou, Sedjro Aaron & Malikane, Christopher, 2024. "The effect of output and the real exchange rate on equity price dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    56. Uhrin, Gábor B. & Herwartz, Helmut, 2016. "Monetary policy shocks, set-identifying restrictions, and asset prices: A benchmarking approach for analyzing set-identified models," University of Göttingen Working Papers in Economics 295, University of Goettingen, Department of Economics.
    57. Anna Florio, 2013. "The Implied Consumer Euler Rate: What Role for Financial Frictions?," CESifo Economic Studies, CESifo Group, vol. 59(4), pages 650-675, December.
    58. Albonico, Alice & Ascari, Guido & Gobbi, Alessandro, 2021. "The public debt multiplier," Journal of Economic Dynamics and Control, Elsevier, vol. 132(C).
    59. Francesco Furlanetto, 2011. "Does Monetary Policy React to Asset Prices? Some International Evidence," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 91-111, September.
    60. Sharif, Taimur & Bouteska, Ahmed & Zoynul Abedin, Mohammad & Cotturone, Saulo, 2025. "An enquiry into the monetary policy and stock market shocks in the US," International Review of Economics & Finance, Elsevier, vol. 98(C).
    61. Lucidi, Francesco Simone & Semmler, Willi, 2023. "Long-run scarring effects of meltdowns in a small-scale nonlinear quadratic model," Journal of Macroeconomics, Elsevier, vol. 75(C).
    62. Araújo, Eurilton, 2013. "Robust monetary policy with the consumption-wealth channel," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 296-311.
    63. Francesco Sergi, 2020. "The Standard Narrative about DSGE Models in Central Banks’ Technical Reports," The European Journal of the History of Economic Thought, Taylor & Francis Journals, vol. 27(2), pages 163-193, March.
    64. Ascari, Guido & Castelnuovo, Efrem & Rossi, Lorenza, 2011. "Calvo vs. Rotemberg in a trend inflation world: An empirical investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1852-1867.
    65. Bacchetta, Philippe & Perazzi, Elena & van Wincoop, Eric, 2018. "Self-fulfilling debt crises: What can monetary policy do?," Journal of International Economics, Elsevier, vol. 110(C), pages 119-134.
    66. Knut Are Aastveit & Francesco Furlanetto & Francesca Loria, 2017. "Has the Fed responded to house and stock prices? A time-varying analysis," Working Papers 1713, Banco de España.
    67. Ascari, Guido & Magnusson, Leandro M. & Mavroeidis, Sophocles, 2021. "Empirical evidence on the Euler equation for consumption in the US," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 129-152.
    68. Chatziantoniou, Ioannis & Duffy, David & Filis, George, 2013. "Stock market response to monetary and fiscal policy shocks: Multi-country evidence," Economic Modelling, Elsevier, vol. 30(C), pages 754-769.
    69. Goczek, Łukas & Partyka, Karol, . "Reakcja polityki pieniężnej na wydarzenia giełdowe," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2016(5).
    70. Castelnuovo, Efrem, 2013. "Monetary policy shocks and financial conditions: A Monte Carlo experiment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 282-303.
    71. Guimin Yao & Syed Kanwar Abbas & Hao Lan, 2026. "Structural Shocks on Renewable Energy Consumption and Investment Regimes," The Energy Journal, , vol. 47(3), pages 139-179, May.
    72. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," Melbourne Institute Working Paper Series wp2019n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    73. Verona, Fabio & Martins, Manuel M.F. & Drumond, Inês, 2017. "Financial shocks, financial stability, and optimal Taylor rules," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 187-207.
    74. Łukasz Goczek & Karol Partyka, 2016. "Reakcja polityki pieniężnej na wydarzenia giełdowe," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 5, pages 27-50.
    75. Argentiero, Amedeo & Bollino, Carlo Andrea & Micheli, Silvia & Zopounidis, Constantin, 2018. "Renewable energy sources policies in a Bayesian DSGE model," Renewable Energy, Elsevier, vol. 120(C), pages 60-68.
    76. Scheffknecht, Lukas & Geiger, Felix, 2011. "A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis," FZID Discussion Papers 37-2011, University of Hohenheim, Center for Research on Innovation and Services (FZID).

  48. Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in an DSGE model for the US," Bank of Finland Research Discussion Papers 11/2010, Bank of Finland.

    Cited by:

    1. Di Giorgio, Giorgio & Nisticò, Salvatore & Traficante, Guido, 2018. "Government spending and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 55-73.
    2. Marco Airaudo & Salvatore Nisticò & Luis‐Felipe Zanna, 2015. "Learning, Monetary Policy, and Asset Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1273-1307, October.
    3. Paetz, Michael & Gupta, Rangan, 2016. "Stock price dynamics and the business cycle in an estimated DSGE model for South Africa," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 166-182.
    4. Jin, Tao & Kwok, Simon & Zheng, Xin, 2022. "Financial wealth, investment, and confidence in a DSGE model for China," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 114-134.
    5. Hoshino, Satoshi & Ida, Daisuke, 2025. "Stock prices and monetary policy: Analysis of a Bayesian DSGE model," MPRA Paper 124045, University Library of Munich, Germany, revised 21 Mar 2025.
    6. Hoshino, Satoshi & Ida, Daisuke, 2021. "Stock prices and monetary policy in Japan: An analysis of a Bayesian DSGE model," MPRA Paper 107301, University Library of Munich, Germany.
    7. Kostas Mavromatis, 2020. "Finite Horizons and the Monetary/Fiscal Policy Mix," International Journal of Central Banking, International Journal of Central Banking, vol. 16(4), pages 327-378, September.
    8. Di Giorgio, Giorgio & Traficante, Guido, 2018. "Fiscal shocks and helicopter money in open economy," Economic Modelling, Elsevier, vol. 74(C), pages 77-87.
    9. Caggiano, Giovanni & Castelnuovo, Efrem & Groshenny, Nicolas, 2014. "Uncertainty shocks and unemployment dynamics in U.S. recessions," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 78-92.
    10. Lengnick, Matthias & Wohltmann, Hans-Werner, 2011. "Agent-based financial markets and New Keynesian macroeconomics: A synthesis," Economics Working Papers 2011-09, Christian-Albrechts-University of Kiel, Department of Economics.
    11. Hylton Hollander & Guangling Liu, 2013. "The equity price channel in a New-Keynesian DSGE model with financial frictions and banking," Working Papers 16/2013, Stellenbosch University, Department of Economics, revised 2014.
    12. Kai Liu, 2014. "Public Finances, Business Cycles and Structural Fiscal Balances," Cambridge Working Papers in Economics 1411, Faculty of Economics, University of Cambridge.
    13. Katsuhiro Oshima, 2021. "Heterogeneous beliefs, monetary policy, and stock price volatility," Annals of Finance, Springer, vol. 17(1), pages 79-125, March.
    14. Mumtaz, Haroon & Theodoridis, Konstantinos, 2020. "Fiscal policy shocks and stock prices in the United States," European Economic Review, Elsevier, vol. 129(C).
    15. Giovanni Melina & Stefania Villa, 2018. "Leaning Against Windy Bank Lending," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 460-482, January.
    16. Adame Espinosa Francisco, 2023. "Monetary Rules, Financial Stability and Welfare in a non-Ricardian Framework," Working Papers 2023-14, Banco de México.
    17. Annika Camehl & Tomasz Wo'zniak, 2023. "Time-Varying Identification of Monetary Policy Shocks," Papers 2311.05883, arXiv.org, revised May 2024.
    18. Corrado, Luisa & Schuler, Tobias, 2017. "Interbank market failure and macro-prudential policies," Journal of Financial Stability, Elsevier, vol. 33(C), pages 133-149.
    19. Nakata, Taisuke & Ogaki, Ryota & Schmidt, Sebastian & Yoo, Paul, 2019. "Attenuating the forward guidance puzzle: implications for optimal monetary policy," Working Paper Series 2220, European Central Bank.
    20. Efrem Castelnuovo, 2013. "What does a Monetary Policy Shock Do? An International Analysis with Multiple Filters," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 759-784, October.
    21. Massimiliano Rigon & Francesco Zanetti, 2017. "Optimal monetary policy and fiscal interactions in a non-Ricardian economy," Temi di discussione (Economic working papers) 1155, Bank of Italy, Economic Research and International Relations Area.
    22. Taylor, Alan M. & Jordà , Òscar & Schularick, Moritz & Ward, Felix, 2018. "Global financial cycles and risk premiums," CEPR Discussion Papers 12969, Centre for Economic Policy Research.
    23. Giovanni Melina & Stefania Villa, 2023. "Drivers of large recessions and monetary policy responses," Temi di discussione (Economic working papers) 1425, Bank of Italy, Economic Research and International Relations Area.
    24. Nisticò, Salvatore, 2012. "Monetary policy and stock-price dynamics in a DSGE framework," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 126-146.
    25. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," CESifo Working Paper Series 7900, CESifo.
    26. Hylton Hollander & Guangling Liu, 2014. "Credit spread variability in U.S. business cycles: the Great Moderation versus the Great Recession," Working Papers 15/2014, Stellenbosch University, Department of Economics.
    27. Giannitsarou, Chryssi & CHALLE, Edouard, 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," CEPR Discussion Papers 8387, Centre for Economic Policy Research.
    28. Vicente da Gama Machado, 2012. "Monetary Policy, Asset Prices and Adaptive Learning," Working Papers Series 274, Central Bank of Brazil, Research Department.
    29. Garcia, Pablo & Jacquinot, Pascal & Lenarčič, Črt & Lozej, Matija & Mavromatis, Kostas, 2023. "Global models for a global pandemic: The impact of COVID-19 on small euro area economies," Journal of Macroeconomics, Elsevier, vol. 77(C).
    30. Dumas, Bernard & Savioz, Marcel René, 2020. "A Theory of the Nominal Character of Stock Securities," CEPR Discussion Papers 15507, Centre for Economic Policy Research.
    31. Markku Lanne & Mika Meitz & Pentti Saikkonen, 2015. "Identification and estimation of non-Gaussian structural vector autoregressions," CREATES Research Papers 2015-16, Department of Economics and Business Economics, Aarhus University.
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    43. Benjamin Carton, 2012. "Monetary-Policy Tradeoff in Overlapping Generations DSGE Models," DEM Working Papers Series 028, University of Pavia, Department of Economics and Management.
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  49. Guido Ascari & Efrem Castelnuovo & Lorenza Rossi, 2010. "Calvo vs. Rotemberg in a Trend Inflation World: An Empirical Investigation," "Marco Fanno" Working Papers 0116, Dipartimento di Scienze Economiche "Marco Fanno".

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    1. Maria Ferrara & Patrizio Tirelli, 2015. "Can a DSGE Model Explain a Costly Disinflation?," Working Papers 306, University of Milano-Bicocca, Department of Economics, revised Aug 2015.
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    3. Yasufumi Gemma & Takushi Kurozumi & Mototsugu Shintani, 2023. "Trend Inflation and Evolving Inflation Dynamics:A Bayesian GMM Analysis," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 506-520, December.
    4. Deák, Szabolcs & Levine, Paul & Mirza, Afrasiab & Pearlman, Joseph, 2025. "All models are wrong but all can be useful: Robust policy design using prediction pools," Journal of Economic Dynamics and Control, Elsevier, vol. 176(C).
    5. Stähler, Nikolai & Gadatsch, Niklas & Hauzenberger, Klemens, 2014. "Getting into GEAR: German and the Rest of Euro Area Fiscal Policy During the Crisis," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100460, Verein für Socialpolitik / German Economic Association.
    6. Stähler, Nikolai, 2017. "A model-based analysis of the macroeconomic impact of the refugee migration to Germany," Discussion Papers 05/2017, Deutsche Bundesbank.
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    8. Kai Liu, 2014. "Public Finances, Business Cycles and Structural Fiscal Balances," Cambridge Working Papers in Economics 1411, Faculty of Economics, University of Cambridge.
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    18. Qureshi, Irfan, 2015. "Monetary Policy Shifts and Central Bank Independence," MPRA Paper 81646, University Library of Munich, Germany, revised Sep 2017.
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    20. Gadatsch, Niklas & Stähler, Nikolai & Weigert, Benjamin, 2014. "German labor market and fiscal reforms 1999 to 2008: Can they be blamed for intra-Euro Area imbalances?," Working Papers 05/2014, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.
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    24. Firmin Doko Tchatoka & Nicolas Groshenny & Qazi Haque & Mark Weder, 2016. "Monetary Policy and Indeterminacy after the 2001 Slump," Adelaide Economics Working Papers 2016-09, Adelaide University, School of Economics.
    25. Sergey Ivashchenko, 2022. "Dynamic Stochastic General Equilibrium Model with Multiple Trends and Structural Breaks," Russian Journal of Money and Finance, Bank of Russia, vol. 81(1), pages 46-72, March.
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    27. Guido Ascari & Argia M. Sbordone, 2013. "The Macroeconomics of Trend Inflation," DEM Working Papers Series 053, University of Pavia, Department of Economics and Management.
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    30. Qureshi, Irfan, 2018. "Money Aggregates and Determinacy : A Reinterpretation of Monetary Policy During the Great Inflation," The Warwick Economics Research Paper Series (TWERPS) 1156, University of Warwick, Department of Economics.
    31. Joonseok Oh, 2020. "The Propagation Of Uncertainty Shocks: Rotemberg Versus Calvo," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(3), pages 1097-1113, August.
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    33. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    34. Malikane, Christopher, 2013. "A New Keynesian Triangle Phillips Curve," MPRA Paper 43548, University Library of Munich, Germany.
    35. Efrem Castelnuovo & Giovanni Pellegrino, 2018. "Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation," "Marco Fanno" Working Papers 0219, Dipartimento di Scienze Economiche "Marco Fanno".
    36. Takushi Kurozumi & Willem Van Zandweghe, 2014. "A pitfall of expectational stability analysis," Research Working Paper RWP 14-7, Federal Reserve Bank of Kansas City.
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    39. Sergio A. Lago Alves, 2012. "Trend Inflation and the Unemployment Volatility Puzzle," Working Papers Series 277, Central Bank of Brazil, Research Department.
    40. Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," Adelaide Economics Working Papers 2017-10, Adelaide University, School of Economics.
    41. Caggiano, Giovanni & Castelnuovo, Efrem & Nodari, Gabriela, 2018. "Risk management-driven policy rate gap," Economics Letters, Elsevier, vol. 171(C), pages 235-238.
    42. Daniil Lomonosov, 2023. "Shocks of Business Activity and Specific Shocks to Oil Market in DSGE Model of Russian Economy and Their Influence Under Different Monetary Policy Regimes," Russian Journal of Money and Finance, Bank of Russia, vol. 82(4), pages 44-79, December.
    43. Efrem Castelnuovo & Giovanni Pellegrino & Laust L. Særkjær, 2025. "The Inflation Uncertainty Amplifier," CESifo Working Paper Series 11853, CESifo.
    44. Giovanni Di Bartolomeo & Patrizio Tirelli & Nicola Acocella, 2013. "The comeback of inflation as an optimal public finance tool," Working Papers 263, University of Milano-Bicocca, Department of Economics, revised Dec 2013.
    45. Cantelmo, Alessandro & Melina, Giovanni, 2018. "Monetary policy and the relative price of durable goods," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 1-48.
    46. OH, Joonseok, 2019. "The propagation of uncertainty shocks : Rotemberg vs. Calvo," Economics Working Papers ECO 2019/01, European University Institute.
    47. Ales Marsal & Katrin Rabitsch & Lorant Kaszab, 2019. "Trend Inflation Meets Macro-Finance: The Puzzling Behavior of Price Dispersion," Working and Discussion Papers WP 6/2019, Research Department, National Bank of Slovakia.
    48. Ishise, Hirokazu, 2022. "Optimal long-run inflation rate in an open economy," European Economic Review, Elsevier, vol. 148(C).
    49. Jonas E. Arias & Guido Ascari & Nicola Branzoli & Efrem Castelnuovo, 2014. "Monetary Policy, Trend Inflation and the Great Moderation: An Alternative Interpretation - Comment," International Finance Discussion Papers 1127, Board of Governors of the Federal Reserve System (U.S.).
    50. Knut Are Aastveit & Jamie Cross & Francesco Furlanetto & Herman K van Dijk, 2024. "Asymmetric Gradualism in US Monetary Policy," Tinbergen Institute Discussion Papers 24-074/III, Tinbergen Institute.
    51. Malikane, Christopher, 2012. "The microfoundations of the Keynesian wage-price spiral," MPRA Paper 42921, University Library of Munich, Germany, revised 29 Nov 2012.
    52. Niklas Gadatsch & Josef Hollmayr & Nikolai Stähler, 2019. "Thoughts on a Fiscal Union in EMU," German Economic Review, Verein für Socialpolitik, vol. 20(4), pages 360-384, November.
    53. Ascari, Guido & Castelnuovo, Efrem & Rossi, Lorenza, 2011. "Calvo vs. Rotemberg in a trend inflation world: An empirical investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1852-1867.
    54. Gadatsch, Niklas & Hauzenberger, Klemens & Stähler, Nikolai, 2015. "German and the rest of euro area fiscal policy during the crisis," Discussion Papers 05/2015, Deutsche Bundesbank.
    55. Nikolaos Charalampidis, 2024. "Frictions and the diffusion of automation," Manchester School, University of Manchester, vol. 92(2), pages 148-170, March.
    56. Gadatsch, Niklas & Hauzenberger, Klemens & Stähler, Nikolai, 2016. "Fiscal policy during the crisis: A look on Germany and the Euro area with GEAR," Economic Modelling, Elsevier, vol. 52(PB), pages 997-1016.
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    58. Lorenzo Menna & Patrizio Tirelli, 2014. "Limited Asset Market Participation and the Optimal Fiscal and Monetary Policies," Working Papers 284, University of Milano-Bicocca, Department of Economics, revised Oct 2014.
    59. Sergey M. Ivashchenko, 2019. "DSGE Models: Problem of Trends," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 81-95, April.
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    61. Nabavi Larimi, Seyed Mohsen & Ehsani, Mohammad Ali & Tavakolian, Hossein, 2018. "Effect of Sentiments on Macroeconomic Variables in Iran: A Dynamic Stochastic General Equilibrium Approach," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(1), pages 1-30, January.
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  50. Efrem Castelnuovo, 2009. "Estimating the Evolution of Money's Role in the U.S. Monetary Business Cycle," "Marco Fanno" Working Papers 0103, Dipartimento di Scienze Economiche "Marco Fanno".

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    1. Caggiano, Giovanni & Castelnuovo, Efrem & Damette, Olivier & Parent, Antoine & Pellegrino, Giovanni, 2017. "Liquidity traps and large-scale financial crises," Journal of Economic Dynamics and Control, Elsevier, vol. 81(C), pages 99-114.
    2. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
    3. Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova, 2015. "A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models," Working Papers 770, Queen Mary University of London, School of Economics and Finance.
    4. Bissoondeeal, Rakesh K. & Karoglou, Michail & Binner, Jane M., 2019. "Structural changes and the role of monetary aggregates in the UK," Journal of Financial Stability, Elsevier, vol. 42(C), pages 100-107.
    5. Weder, Mark & Doko Tchatokay, Firmin & Groshenny, Nicolas & Haque, Qazi, 2016. "Monetary Policy and Indeterminacy after the 2001 Slump," VfS Annual Conference 2016 (Augsburg): Demographic Change 145557, Verein für Socialpolitik / German Economic Association.
    6. Guglielmo Maria Caporale & Mauro Costantini & Antonio Paradiso, 2012. "Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal," CESifo Working Paper Series 3897, CESifo.
    7. Cantore, Cristiano & Ferroni, Filippo & León-Ledesma, Miguel A., 2017. "The dynamics of hours worked and technology," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 67-82.
    8. Kui-Wai Li, 2017. "Is there an ‘interest rate – speculation’ relationship? Evidence from G7 in the pre- and post-2008 crisis," Applied Economics, Taylor & Francis Journals, vol. 49(21), pages 2041-2059, May.
    9. Kui-Wai, Li & Bharat R., Hazari, 2015. "The Possible Tragedy of Quantitative Easing: An IS-LM Approach," MPRA Paper 64652, University Library of Munich, Germany.
    10. Jonathan Benchimol, 2016. "Money and monetary policy in Israel during the last decade," Post-Print hal-01272174, HAL.
    11. Mutiu Gbade Rasaki, 2017. "A Bayesian Estimation of DSGE Model for the Nigerian Economy," EuroEconomica, Danubius University of Galati, issue 2(36), pages 145-158, November.
    12. Efrem Castelnuovo, 2013. "What does a Monetary Policy Shock Do? An International Analysis with Multiple Filters," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 759-784, October.
    13. Alfredo Martín-Oliver, 2018. "Bank Competition with Financing and Savings Substitutes," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(2), pages 207-241, October.
    14. Ibrahim N Ouattara & Balakissa Kone, 2023. "The effect of exchange rate on the money demand: evidence from ECOWAS countries," Economics Bulletin, AccessEcon, vol. 43(4), pages 1565-1580.
    15. Araújo, Eurilton, 2015. "Monetary policy objectives and Money’s role in U.S. business cycles," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 85-107.
    16. Seitz, Franz & Schmidt, Markus A., 2014. "Money in modern macro models: A review of the arguments," Weidener Diskussionspapiere 37, University of Applied Sciences Amberg-Weiden (OTH).
    17. Qureshi, Irfan, 2018. "Money Aggregates and Determinacy : A Reinterpretation of Monetary Policy During the Great Inflation," The Warwick Economics Research Paper Series (TWERPS) 1156, University of Warwick, Department of Economics.
    18. Mr. Nooman Rebei, 2017. "Evaluating Changes in the Transmission Mechanism of Government Spending Shocks," IMF Working Papers 2017/049, International Monetary Fund.
    19. George Kapetanios & Stephen Millard & Katerina Petrova & Simon Price, 2018. "Time Varying Cointegration and the UK Great Ratios," CAMA Working Papers 2018-53, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    20. Kapetanios, George & Masolo, Riccardo M. & Petrova, Katerina & Waldron, Matthew, 2019. "A time-varying parameter structural model of the UK economy," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
    21. Aguirre, Idoia & Vázquez, Jesús, 2020. "Learning, parameter variability, and swings in US macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 66(C).
    22. Seitz, Franz & Albuquerque, Bruno & Baumann, Ursel, 2015. "The Information Content Of Money And Credit For US Activity," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113066, Verein für Socialpolitik / German Economic Association.
    23. Alexander Kriwoluzky & Christian A. Stoltenberg, 2015. "Monetary Policy and the Transaction Role of Money in the US," Economic Journal, Royal Economic Society, vol. 125(587), pages 1452-1473, September.
    24. Ono, Sadayuki, 2019. "Term structure dynamics in a monetary economy with learning," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 730-745.
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    125. Sevda Yapraklı, 2022. "The Validity of The Neo-Fisher Effect in The Period of Explicit Inflation Targeting: An Econometric Analysis on Turkey," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(37), pages 85-105, December.

  52. Castelnuovo, Efrem, 2009. "Testing the structural interpretation of the price puzzle with a cost channel model," Bank of Finland Research Discussion Papers 20/2009, Bank of Finland.

    Cited by:

    1. Ørjan Robstad, 2014. "House prices, credit and the effect of monetary policy in Norway: Evidence from Structural VAR Models," Working Paper 2014/05, Norges Bank.
    2. Angela Abbate & Sandra Eickmeier & Esteban Prieto, 2020. "Financial shocks and inflation dynamics," Working Papers 2020-13, Swiss National Bank.
    3. Ali, Syed Zahid & Anwar, Sajid, 2018. "Price puzzle in a small open New Keynesian model," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 29-42.
    4. Yunjong Eo & Denny Lie, 2020. "Changes in the Inflation Target and the Comovement between Inflation and the Nominal Interest Rate," Discussion Paper Series 2003, Institute of Economic Research, Korea University.
    5. Ali, Syed Zahid & Anwar, Sajid, 2022. "Risk-premium shocks and the prudent exchange rate policy," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 97-122.
    6. Uusküla, Lenno, 2016. "Monetary transmission mechanism with firm turnover," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 1-18.
    7. Akbari Dehbaghi, Simin & Arman, Seyed Aziz & Ahangari, Majid, 2020. "The Impact of Domestic and Foreign Monetary Policy on Iran's economy: Global Modeling," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(2), pages 151-180, April.
    8. Matteo Deleidi & Enrico Sergio Levrero & Antonino Lofaro, 2026. "Income Distribution and the Cost Channel of Monetary Policy: Evidence from Japan, the UK, and the US," FMM Working Paper 124-2026, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    9. Ida, Daisuke, 2024. "Household heterogeneity and the price puzzle in a new Keynesian model," Journal of Macroeconomics, Elsevier, vol. 79(C).
    10. James Bishop & Peter Tulip, 2017. "Anticipatory Monetary Policy and the 'Price Puzzle'," RBA Research Discussion Papers rdp2017-02, Reserve Bank of Australia.
    11. Reusens Peter & Croux Christophe, 2017. "Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-18, September.
    12. Aragón, Edilean Kleber da Silva Bejarano & Galvão, Ana Beatriz, 2023. "Shock-based inference on the Phillips curve with the cost channel," Economic Modelling, Elsevier, vol. 126(C).
    13. Francesco Zanetti & Christoph Görtz & Wei Li & John Tsoukalas, 2020. "Vintage Article: The Effect of Monetary Policy Shocks in the United Kingdom: an External Instruments Approach," Economics Series Working Papers 812, University of Oxford, Department of Economics.
    14. Bünyamin Fuat Yıldız & Korhan K. Gökmenoğlu & Wing-Keung Wong, 2022. "Analysing Monetary Policy Shocks by Sign and Parametric Restrictions: The Evidence from Russia," Economies, MDPI, vol. 10(10), pages 1-16, September.
    15. Estrella, Arturo, 2015. "The Price Puzzle And Var Identification," Macroeconomic Dynamics, Cambridge University Press, vol. 19(8), pages 1880-1887, December.
    16. Ali, Syed Zahid & Anwar, Sajid, 2016. "Can exchange rate pass-through explain the price puzzle?," Economics Letters, Elsevier, vol. 145(C), pages 56-59.
    17. Meixing Dai & Qiao Zhang, 2017. "Central bank transparency under the cost channel," International Finance, Wiley Blackwell, vol. 20(2), pages 189-209, June.
    18. Shi, Jiping, 2025. "News Uncertainty and Signaling Effects of Monetary Policy," Warwick-Monash Economics Student Papers 81, Warwick Monash Economics Student Papers.
    19. Posch, Olaf, 2018. "Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor rule," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181616, Verein für Socialpolitik / German Economic Association.
    20. Ørjan Robstad, 2018. "House prices, credit and the effect of monetary policy in Norway: evidence from structural VAR models," Empirical Economics, Springer, vol. 54(2), pages 461-483, March.
    21. Bratsiotis, George J. & Kalubowila, Chashika D., 2025. "The cyclicality of the finance premium over the business cycle," Economic Modelling, Elsevier, vol. 142(C).
    22. Malikane, Christopher, 2012. "Inflation dynamics and the cost channel in emerging markets," MPRA Paper 42688, University Library of Munich, Germany.
    23. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
    24. Castelnuovo, Efrem, 2013. "Monetary policy shocks and financial conditions: A Monte Carlo experiment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 282-303.
    25. Giuliano Queiroz Ferreira & Leonardo Bornacki Mattos, 2022. "Regime-dependent price puzzle in the Brazilian economy: evidence from VAR and FAVAR approaches," SN Business & Economics, Springer, vol. 2(9), pages 1-28, September.
    26. Castelnuovo, Efrem & Pellegrino, Giovanni, 2018. "Uncertainty-dependent effects of monetary policy shocks: A new-Keynesian interpretation," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 277-296.
    27. Meixing Dai & Qiao Zhang, 2013. "Central bank transparency with the cost channel," Working Papers of BETA 2013-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.

  53. Castelnuovo, Efrem & Surico, Paolo, 2009. "Monetary policy, inflation expectations and the price puzzle," Bank of Finland Research Discussion Papers 30/2009, Bank of Finland.

    Cited by:

    1. Paul Hubert & Becky Maule, 2016. "Policy and Macro Signals as Inputs to Inflation Expectation Formation," Working Papers hal-03459462, HAL.
    2. Ha, Jongrim & Kim, Dohan & Kose, M. Ayhan & Prasad, Eswar S., 2025. "Resolving puzzles of monetary policy transmission in emerging markets," European Economic Review, Elsevier, vol. 173(C).
    3. Caggiano, Giovanni & Castelnuovo, Efrem & Damette, Olivier & Parent, Antoine & Pellegrino, Giovanni, 2017. "Liquidity traps and large-scale financial crises," Journal of Economic Dynamics and Control, Elsevier, vol. 81(C), pages 99-114.
    4. Lorenti, A.Nicol S & Mora-Ruano, Rub N & Fern Ndez Romero, Daniel & Angoitia Grijalba, Miguel, 2025. "Fiscal Forecast Errors in the Eurozone: The Influence of Independent Fiscal Institutions (IFIs) and Monetary Policy," Hacienda Pública Española / Review of Public Economics, IEF, vol. 254(3), pages 119-156, September.
    5. Rüdiger Bachmann & Sebastian K. Rüth, 2020. "Systematic Monetary Policy And The Macroeconomic Effects Of Shifts In Residential Loan‐To‐Value Ratios," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(2), pages 503-530, May.
    6. Mathias Klein, 2017. "Austerity and Private Debt," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(7), pages 1555-1585, October.
    7. Barbieri Góes, Maria Cristina, 2023. "A tale of three prices: Monetary policy and autonomous consumption in the US," Structural Change and Economic Dynamics, Elsevier, vol. 67(C), pages 115-127.
    8. Angela Abbate & Sandra Eickmeier & Esteban Prieto, 2020. "Financial shocks and inflation dynamics," Working Papers 2020-13, Swiss National Bank.
    9. Kristin Forbes & Jongrim Ha & M. Ayhan Kose, 2025. "Trade-Offs over Rate Cycles: Activity, Inflation, and the Price Level," NBER Chapters, in: NBER Macroeconomics Annual 2025, volume 40, pages 191-277, National Bureau of Economic Research, Inc.
    10. IGP Wira Kusuma, 2013. "The Dynamics of Indonesian Inflation: What can We Learn from Inflation Disaggregation?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 16(1), pages 39-72, July.
    11. Klein, Mathias & Winkler, Roland, 2019. "Austerity, inequality, and private debt overhang," European Journal of Political Economy, Elsevier, vol. 57(C), pages 89-106.
    12. Richard T. Baillie & George Kapetanios & Fotis Papailias, 2017. "Inference for impulse response coefficients from multivariate fractionally integrated processes," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 60-84, March.
    13. Ali, Syed Zahid & Anwar, Sajid, 2018. "Price puzzle in a small open New Keynesian model," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 29-42.
    14. Pang, Ke & Siklos, Pierre L., 2016. "Macroeconomic consequences of the real-financial nexus: Imbalances and spillovers between China and the U.S," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 195-212.
    15. Firmin Doko Tchatoka & Qazi Haque, 2021. "Revisiting the macroeconomic effects of monetary policy shocks," Adelaide Economics Working Papers 2021-02 Classification-E3, Adelaide University, School of Economics.
    16. Silvia Emili & Federica Galli, 2025. "Modelling Spatio-Temporal Dynamics in Multi-Output Stochastic Frontiers for the European Agribusiness Industry," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 30(2), pages 540-575, June.
    17. Forbes,Kristin & Jongrim Ha & Ayhan Kose, 2024. "Rate Cycles," Policy Research Working Paper Series 10876, The World Bank.
    18. Chua, Chew Lian & Tsiaplias, Sarantis, 2024. "The influence of supermarket prices on consumer inflation expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 219(C), pages 414-433.
    19. Cucciniello, Maria Chiara & Deleidi, Matteo & Levrero, Enrico Sergio, 2022. "The cost channel of monetary policy: The case of the United States in the period 1959–2018," Structural Change and Economic Dynamics, Elsevier, vol. 61(C), pages 409-433.
    20. James Cloyne & Patrick Hürtgen, 2016. "The Macroeconomic Effects of Monetary Policy: A New Measure for the United Kingdom," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(4), pages 75-102, October.
    21. Maria Cristina Barbieri Góes & Matteo Deleidi & Stefano Di Bucchianico & Luigi Salvati, 2025. "An Empirical Analysis of the Impact of Financialisation on the Rate of Profit for the US (1955–2019)," British Journal of Industrial Relations, London School of Economics, vol. 63(2), pages 354-367, June.
    22. Haroon Mumtaz & Konstantinos Theodoridis, 2015. "Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility," Working Papers 760, Queen Mary University of London, School of Economics and Finance.
    23. Martin Feldkircher & Florian Huber & Michael Pfarrhofer, 2020. "Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession," Papers 2007.15419, arXiv.org.
    24. Anna Florio, 2018. "Unmoored expectations and the price puzzle," DEM Working Papers Series 154, University of Pavia, Department of Economics and Management.
    25. Ahiadorme, Johnson Worlanyo, 2020. "Monetary policy transmission and income inequality in Sub-Saharan Africa," MPRA Paper 104084, University Library of Munich, Germany.
    26. Edward Herbst & Dario Caldara, 2015. "Monetary Policy, Credit Spreads, and Business Cycle Fluctuations," 2015 Meeting Papers 899, Society for Economic Dynamics.
    27. Bhattacharya, Rudrani & Jain, Richa, 2020. "Can monetary policy stabilise food inflation? Evidence from advanced and emerging economies," Economic Modelling, Elsevier, vol. 89(C), pages 122-141.
    28. Alemu Lambamo Hawitibo, 2023. "Explaining macroeconomic fluctuations in Ethiopia: the role of monetary and fiscal policies," Economic Change and Restructuring, Springer, vol. 56(2), pages 1033-1061, April.
    29. Akbari Dehbaghi, Simin & Arman, Seyed Aziz & Ahangari, Majid, 2020. "The Impact of Domestic and Foreign Monetary Policy on Iran's economy: Global Modeling," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(2), pages 151-180, April.
    30. Matteo Deleidi & Enrico Sergio Levrero & Antonino Lofaro, 2026. "Income Distribution and the Cost Channel of Monetary Policy: Evidence from Japan, the UK, and the US," FMM Working Paper 124-2026, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    31. Marek Rusnák & Tomáš Havránek & Roman Horváth, 2011. "How to Solve the Price Puzzle? A Meta-Analysis," Working Papers IES 2011/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2011.
    32. Thanassis Kazanas & Apostolis Philippopoulos & Elias Tzavalis, 2011. "Monetary Policy Rules And Business Cycle Conditions," Manchester School, University of Manchester, vol. 79(s2), pages 73-97, September.
    33. Barbieri Góes, Maria Cristina & Deleidi, Matteo, 2022. "Output determination and autonomous demand multipliers: An empirical investigation for the US economy," Economic Modelling, Elsevier, vol. 116(C).
    34. James Bishop & Peter Tulip, 2017. "Anticipatory Monetary Policy and the 'Price Puzzle'," RBA Research Discussion Papers rdp2017-02, Reserve Bank of Australia.
    35. Giovanni Angelini & Marco M. Sorge, 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Working Papers wp1160, Dipartimento Scienze Economiche, Universita' di Bologna.
    36. Philip Arestis & Michail Karoglou & Kostas Mouratidis, 2013. "The Price Puzzle: Fact or Artefact?," Working Papers 2013008, The University of Sheffield, Department of Economics.
    37. Sarantis Tsiaplias, 2024. "Inflation as a 'bad', heuristics and aggregate shocks: New evidence on expectation formation," Melbourne Institute Working Paper Series wp2024n03, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    38. Ruediger Bachmann & Sebastian Rüth, 2017. "Systematic Monetary Policy and the Macroeconomic Effects of Shifts in Loan-to-Value Ratios," CESifo Working Paper Series 6458, CESifo.
    39. Gabriel Arce‐Alfaro & Boris Blagov, 2023. "Monetary Policy Uncertainty and Inflation Expectations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 70-94, February.
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    41. Lan Nguyen, Thi Mai & Papyrakis, Elissaios & van Bergeijk, Peter A.G., 2021. "Publication bias in the price effects of monetary policy: A meta-regression analysis for emerging and developing economies," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 567-583.
    42. Kumar, Ankit & Dash, Pradyumna, 2020. "Changing transmission of monetary policy on disaggregate inflation in India," Economic Modelling, Elsevier, vol. 92(C), pages 109-125.
    43. Bhattacharya. Rudrani, 2017. "Effectiveness of monetary policy in stabilising food inflation: Evidence from advanced and emerging economies," Working Papers 17/209, National Institute of Public Finance and Policy.
    44. Reusens Peter & Croux Christophe, 2017. "Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-18, September.
    45. Huang, Yuzhe & Jin, Long & Pan, Changchun, 2025. "Can monetary policy tame asset price fluctuations? Evaluating the dynamic trade-offs," Economic Modelling, Elsevier, vol. 151(C).
    46. Florio, Anna, 2018. "Nominal anchors and the price puzzle," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 224-237.
    47. Francesco Zanetti & Christoph Görtz & Wei Li & John Tsoukalas, 2020. "Vintage Article: The Effect of Monetary Policy Shocks in the United Kingdom: an External Instruments Approach," Economics Series Working Papers 812, University of Oxford, Department of Economics.
    48. Michal Franta & Roman Horvath & Marek Rusnak, 2011. "Evaluating Changes in the Monetary Transmission Mechanism in the Czech Republic," Working Papers 2011/13, Czech National Bank, Research and Statistics Department.
    49. Reyna Vergara-González & Elías Eduardo Gutierrez-Alva, 2014. "Evaluación del cumplimiento de los objetivos de inflación y el papel de las expectativas: evidencia para México, 1995-2012," Ensayos Revista de Economía, Universidad Autónoma de Nuevo León, vol. 33(2), pages 1-32, November.
    50. Dmitry Kulikov & Aleksei Netsunajev, 2016. "Identifying Shocks in Structural VAR models via heteroskedasticity: a Bayesian approach," Bank of Estonia Working Papers wp2015-8, Bank of Estonia, revised 19 Feb 2016.
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    62. Chan, Joshua C.C. & Eisenstat, Eric, 2018. "Comparing hybrid time-varying parameter VARs," Economics Letters, Elsevier, vol. 171(C), pages 1-5.
    63. Sterk, Vincent & Tenreyro, Silvana, 2018. "The transmission of monetary policy through redistributions and durable purchases," Journal of Monetary Economics, Elsevier, vol. 99(C), pages 124-137.
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    67. Aswin Rivai, 2022. "The monetary policy impact on agricultural growth and food prices," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 11(9), pages 158-165, December.
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    73. Zulfiqar Ali WAGAN & Zhang CHEN & Hakimzadi SEELRO & Muhammad Sanaullah SHAH, 2018. "Assessing the effect of monetary policy on agricultural growth and food prices," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 64(11), pages 499-507.
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    99. Ascari, Guido & Castelnuovo, Efrem & Rossi, Lorenza, 2011. "Calvo vs. Rotemberg in a trend inflation world: An empirical investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1852-1867.
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    102. Enzinger, Matthias & Gechert, Sebastian & Heimberger, Philipp & Prante, Franz & Romero, Daniel Fernández, 2025. "The overstated effects of conventional monetary policy on output and prices," OSF Preprints 72cen_v2, Center for Open Science.
    103. Christiane Baumeister & Philip Liu & Haroon Mumtaz, 2012. "Changes in the Effects of Monetary Policy on Disaggregate Price Dynamics," Staff Working Papers 12-13, Bank of Canada.
    104. Daniel Kaufmann & Sarah M. Lein, 2012. "Is There a Swiss Price Puzzle?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 148(1), pages 57-75, March.
    105. John H. Cochrane, 2017. "Michelson-Morley, Fisher, and Occam: The Radical Implications of Stable Quiet Inflation at the Zero Bound," NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32, pages 113-226, National Bureau of Economic Research, Inc.
    106. Colin Ellis & Haroon Mumtaz & Pawel Zabczyk, 2014. "What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism," Economic Journal, Royal Economic Society, vol. 0(576), pages 668-699, May.
    107. Shuyun May Li & Roshan Perera & Kalvinder Shields, 2013. "Misspecification, Identification or Measurement? Another Look at the Price Puzzle," Department of Economics - Working Papers Series 1169, The University of Melbourne.
    108. Fanelli, Luca & Sorge, Marco M., 2017. "Indeterminate forecast accuracy under indeterminacy," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 57-70.
    109. Navoda Edirisinghe & Selliah Sivarajasingham & John Nigel, 2015. "An Empirical Study of the Fisher Effect and the Dynamic Relationship between Inflation and Interest Rate in Sri Lanka," International Journal of Business and Social Research, LAR Center Press, vol. 5(1), pages 47-62, January.
    110. Were, Maureen & Nyamongo, Esman & Kamau, Anne W. & Sichei, Moses M. & Wambua, Joseph, 2014. "Assessing the effectiveness of monetary policy in Kenya: Evidence from a macroeconomic model," Economic Modelling, Elsevier, vol. 37(C), pages 193-201.
    111. Castelnuovo, Efrem, 2013. "Monetary policy shocks and financial conditions: A Monte Carlo experiment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 282-303.
    112. Belaygorod, Anatoliy & Dueker, Michael, 2009. "Indeterminacy, change points and the price puzzle in an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 624-648, March.
    113. Giuliano Queiroz Ferreira & Leonardo Bornacki Mattos, 2022. "Regime-dependent price puzzle in the Brazilian economy: evidence from VAR and FAVAR approaches," SN Business & Economics, Springer, vol. 2(9), pages 1-28, September.
    114. Andrea Boitani & Lorenzo Di Domenico & Giorgio Ricchiuti, 2024. "Monetary policy and inequality: an heterogenous agents’ approach," DISCE - Working Papers del Dipartimento di Economia e Finanza def133, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    115. Kapinos, Pavel, 2011. "Forward-looking monetary policy and anticipated shocks to inflation," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 620-633.
    116. Hauzenberger Niko & Huber Florian & Pfarrhofer Michael & Zörner Thomas O., 2021. "Stochastic model specification in Markov switching vector error correction models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-17, April.
    117. Castelnuovo, Efrem & Pellegrino, Giovanni, 2018. "Uncertainty-dependent effects of monetary policy shocks: A new-Keynesian interpretation," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 277-296.
    118. Lofaro, Antonino & Di Bucchianico, Stefano, 2025. "Impact of monetary policy on functional income distribution: A panel vector autoregressive analysis," Economic Modelling, Elsevier, vol. 151(C).
    119. José Antonio Ocampo & Jonathan Malagón González & Juan Sebastian Betancur, 2015. "La banca central colombiana en una década de expansión, 2003-2013," Books, Universidad Externado de Colombia, Facultad de Economía, edition 1, number 72.
    120. Evgenidis, Anastasios & Fasianos, Apostolos, 2023. "Modelling monetary policy’s impact on labour markets under Covid-19," Economics Letters, Elsevier, vol. 230(C).
    121. Mansur, Alfan & Syaifullah, Syaifullah, 2016. "Membangun Kredibilitas Kebijakan Moneter Melalui Suku Bunga Acuan Baru [Improving Credibility of Monetary Policy through A New Policy Rate]," MPRA Paper 93938, University Library of Munich, Germany, revised 14 Sep 2016.
    122. Arce-Alfaro, Gabriel & Blagov, Boris, 2021. "Monetary policy uncertainty and inflation expectations," Ruhr Economic Papers 899, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    123. Mustafa Caglayan & Kostas Mouratidis & Elham Saeidinezhad, 2011. "Monetary policy effects on output and exchange rates: Results from US, UK and Japan," Working Papers 2011016, The University of Sheffield, Department of Economics.
    124. Philip Arestis & Michail Karoglou & Kostas Mouratidis, 2016. "Monetary Policy Preferences of the EMU and the UK," Manchester School, University of Manchester, vol. 84(4), pages 528-550, July.
    125. Sevda Yapraklı, 2022. "The Validity of The Neo-Fisher Effect in The Period of Explicit Inflation Targeting: An Econometric Analysis on Turkey," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(37), pages 85-105, December.

  54. Castelnuovo, Efrem & Greco, Luciano & Raggi, Davide, 2008. "Estimating regime-switching Taylor rules with trend inflation," Bank of Finland Research Discussion Papers 20/2008, Bank of Finland.

    Cited by:

    1. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
    2. Castelnuovo, Efrem, 2010. "Tracking U.S. inflation expectations with domestic and global indicators," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1340-1356, November.
    3. Castelnuovo, Efrem, 2010. "Trend inflation and macroeconomic volatilities in the post-WWII U.S. economy," The North American Journal of Economics and Finance, Elsevier, vol. 21(1), pages 19-33, March.
    4. Zhu, Yanli & Chen, Haiqiang, 2017. "The asymmetry of U.S. monetary policy: Evidence from a threshold Taylor rule with time-varying threshold values," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 522-535.
    5. Matthew Greenwood-Nimmo & Youngcheol Shin, 2011. "Shifting Preferences at the Fed: Evidence from Rolling Dynamic Multipliers and Impulse Response Analysis," Working Papers 2011-057, Madras School of Economics,Chennai,India.
    6. Aleš Bulíř & Jan Vlček, 2023. "Monetary Policy is Not Always Systematic and Data-Driven: Evidence from the Yield Curve," Open Economies Review, Springer, vol. 34(1), pages 93-112, February.
    7. António Afonso & Priscilla Toffano, 2013. "Fiscal regimes in the EU," Working Papers Department of Economics 2013/10, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    8. Castelnuovo, Efrem, 2009. "Testing the structural interpretation of the price puzzle with a cost channel model," Bank of Finland Research Discussion Papers 20/2009, Bank of Finland.

  55. Castelnuovo, Efrem & Greco, Luciano & Raggi, Davide, 2008. "Estimating regime-switching Taylor rules with trend inflation," Bank of Finland Research Discussion Papers 20/2008, Bank of Finland.

    Cited by:

    1. Castelnuovo, Efrem, 2009. "Testing the structural interpretation of the price puzzle with a cost channel model," Bank of Finland Research Discussion Papers 20/2009, Bank of Finland.

  56. Efrem Castelnuovo & Paolo Surico, 2006. "The price puzzle: fact or artefact?," Bank of England Staff Working Paper series 288, Bank of England.

    Cited by:

    1. Ravn, Morten O. & Schmitt-Grohe, Stephanie & Uribe, Martín & Uuskula, Lenno, 2010. "Deep habits and the dynamic effects of monetary policy shocks," Journal of the Japanese and International Economies, Elsevier, vol. 24(2), pages 236-258, June.
    2. Pierre-Richard Agénor & Karim El Aynaoui, 2008. "Excess Liquidity, Bank Pricing Rules, and Monetary Policy," Centre for Growth and Business Cycle Research Discussion Paper Series 105, Economics, The University of Manchester.
    3. Haroon Mumtaz & Paolo Surico, 2009. "The Transmission of International Shocks: A Factor‐Augmented VAR Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(s1), pages 71-100, February.
    4. Ms. Rina Bhattacharya, 2013. "Inflation Dynamics and Monetary Policy Transmission in Vietnam and Emerging Asia," IMF Working Papers 2013/155, International Monetary Fund.
    5. Thomas A. Lubik & Paolo Surico, 2006. "The Lucas critique and the stability of empirical models," Working Paper 06-05, Federal Reserve Bank of Richmond.
    6. Liu, Philip & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2014. "The transmission of international shocks to the UK. Estimates based on a time-varying factor augmented VAR," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 1-15.
    7. Cucciniello, Maria Chiara & Deleidi, Matteo & Levrero, Enrico Sergio, 2022. "The cost channel of monetary policy: The case of the United States in the period 1959–2018," Structural Change and Economic Dynamics, Elsevier, vol. 61(C), pages 409-433.
    8. Francesco Bianchi & Haroon Mumtaz & Paolo Surico, 2009. "Dynamics of the term structure of UK interest rates," Bank of England Staff Working Paper series 363, Bank of England.
    9. Ida, Daisuke, 2024. "Household heterogeneity and the price puzzle in a new Keynesian model," Journal of Macroeconomics, Elsevier, vol. 79(C).
    10. Pham, Thai-Binh & Sala, Hector, 2019. "The macroeconomic effects of oil price and risk-premium shocks on Vietnam: Evidence from an over-identifying SVAR analysis," MPRA Paper 96873, University Library of Munich, Germany, revised 05 Jul 2019.
    11. Bhattacharya, Rina, 2014. "Inflation dynamics and monetary policy transmission in Vietnam and emerging Asia," Journal of Asian Economics, Elsevier, vol. 34(C), pages 16-26.
    12. Saoussen Ouhibi & Sami Hammami, 2015. "The Transmission Mechanisms for Monetary Policy: The Case of Emerging Countries," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 3(12), pages 568-576, December.
    13. OROS, Cornel & ROMOCEA-TURCU, Camelia, 2009. "The Monetary Transmission Mechanisms In The Ceecs: A Structural Var Approach," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(2).
    14. Mumtaz, Haroon & Zabczyk, Pawel & Ellis, Colin, 2011. "What lies beneath? A time-varying FAVAR model for the UK transmission mechanism," Working Paper Series 1320, European Central Bank.
    15. Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2008. "Explaining the Great Moderation: it is not the shocks," Working Paper Series 865, European Central Bank.
    16. Riccardo DiCecio & Edward Nelson, 2007. "An estimated DSGE model for the United Kingdom," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 215-232.
    17. Elisa Keller, 2007. "Classical and Bayesian Methods for the VAR Analysis: International Comparisons," Rivista di Politica Economica, SIPI Spa, vol. 97(6), pages 149-202, November-.
    18. Castelnuovo, Efrem & Surico, Paolo, 2009. "Monetary policy, inflation expectations and the price puzzle," Bank of Finland Research Discussion Papers 30/2009, Bank of Finland.
    19. Enrico S. Levrero, 2019. "Estimates of the Natural Rate of Interest and the Stance of Monetary Policies: A Critical Assessment," Working Papers Series 88, Institute for New Economic Thinking.
    20. Xiaoshan Chen & Ronald Macdonald, 2012. "Realized and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1091-1116, September.
    21. Iuliana Matei & Jérôme Héricourt, 2007. "Transmission de la politique monétaire dans les Pays d'Europe Centrale et Orientale : que savons-nous vraiment ?," Économie et Prévision, Programme National Persée, vol. 180(4), pages 221-238.
    22. Haroon Mumtaz, 2010. "Evolving UK macroeconomic dynamics: a time-varying factor augmented VAR," Bank of England Staff Working Paper series 386, Bank of England.
    23. Ali, Syed Zahid & Anwar, Sajid, 2017. "Exchange rate pass through, cost channel to monetary policy transmission, adaptive learning, and the price puzzle," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 69-82.
    24. Uluc Aysun, 2016. "Searching for the source of macroeconomic integration across advanced economies," Oxford Economic Papers, Oxford University Press, vol. 68(2), pages 316-339.
    25. Alina Barnett & Jan J J Groen & Haroon Mumtaz, 2010. "Time-varying inflation expectations and economic fluctuations in the United Kingdom: a structural VAR analysis," Bank of England Staff Working Paper series 392, Bank of England.
    26. Paloviita, Maritta, 2008. "Dynamics of inflation expectations in the euro area," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2008_040, December.
    27. Francesco Nucci & Marianna Riggi, 2009. "The Great Moderation and Changes in the Structure of Labor Compensation," Working Papers in Public Economics 124, Department of Economics and Law, Sapienza University of Rome.
    28. Tas, Bedri Kamil Onur, 2011. "An explanation for the price puzzle: Asymmetric information and expectation dynamics," Journal of Macroeconomics, Elsevier, vol. 33(2), pages 259-275, June.
    29. Dibartolomeo, Giovanni & Rossi, Lorenza & Tancioni, Massimiliano, 2004. "Monetary Policy under Rule-of-Thumb Consumers and External Habits: An International Empirical Comparison," MPRA Paper 1094, University Library of Munich, Germany, revised Jun 2006.
    30. Mr. Christopher W. Crowe & Mr. S. Mahdi Barakchian, 2010. "Monetary Policy Matters: New Evidence Basedon a New Shock Measure," IMF Working Papers 2010/230, International Monetary Fund.
    31. Giovanni Di Bartolomeo & Lorenza Rossi & Massimiliano Tancioni, 2007. "Monetary Policy under Rule-of-Thumb Consumers and External Habits," Money Macro and Finance (MMF) Research Group Conference 2006 1, Money Macro and Finance Research Group.
    32. Haroon Mumtaz & Pawel Zabczyk & Colin Ellis, 2009. "What lies beneath: what can disaggregated data tell us about the behaviour of prices?," Bank of England Staff Working Paper series 364, Bank of England.
    33. Efrem Castelnuovo, 2006. "Assessing Different Drivers of the GreatModeration in the U.S," "Marco Fanno" Working Papers 0025, Dipartimento di Scienze Economiche "Marco Fanno".
    34. M S Mohanty & Philip Turner, 2008. "Monetary policy transmission in emerging market economies: what is new?," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 1-59, Bank for International Settlements.
    35. Anatoliy Belaygorod & Michael J. Dueker, 2007. "The price puzzle and indeterminacy in an estimated DSGE model," Working Papers 2006-025, Federal Reserve Bank of St. Louis.
    36. Haroon Mumtaz & Laura Sunder-Plassmann, 2010. "Time-varying dynamics of the real exchange rate. A structural VAR analysis," Bank of England Staff Working Paper series 382, Bank of England.
    37. Barakchian, S. Mahdi & Crowe, Christopher, 2013. "Monetary policy matters: Evidence from new shocks data," Journal of Monetary Economics, Elsevier, vol. 60(8), pages 950-966.
    38. Rabanal, Pau, 2007. "Does inflation increase after a monetary policy tightening? Answers based on an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 906-937, March.
    39. Gilberto Tadeu Lima & Mark Setterfield, 2010. "Pricing Behaviour and the Cost-Push Channel of Monetary Policy," Review of Political Economy, Taylor & Francis Journals, vol. 22(1), pages 19-40.
    40. Myung-Soo Yie, 2008. "Interest Arbitrage and Interest Rates in Korea," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 14(3), pages 157-194, September.
    41. MEZUI-MBENG, Pamphile, 2010. "Tramsission de la politique monétaire: le cas des pays de la CEMAC [Monetary policy transmission: the case of the CEMAC]," MPRA Paper 26032, University Library of Munich, Germany.

  57. Efrem Castelnuovo, 2006. "Monetary Policy Switch, the Taylor Curve, and the Great Moderation," Computing in Economics and Finance 2006 59, Society for Computational Economics.

    Cited by:

    1. Eliphas Ndou & Nombulelo Gumata & Mthuli Ncube & Eric Olson, 2013. "Working Paper 189 - An Empirical Investigation of the Taylor Curve in South Africa," Working Paper Series 992, African Development Bank.
    2. Tsasa Vangu, Jean-Paul Kimbambu, 2014. "Diagnostic de la politique monétaire en Rép. Dém. Congo – Approche par l’Equilibre Général Dynamique Stochastique," Dynare Working Papers 38, CEPREMAP.
    3. Kawther Alimi & Mohamed Chakroun & Grégory Levieuge, 2019. "Diagnosis of Monetary Policy in Tunisia During the Last Decade: a DSGE Model Approach," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 10(1), pages 348-364, March.
    4. Olson, Eric & Enders, Walter & Wohar, Mark E., 2012. "An empirical investigation of the Taylor curve," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 380-390.
    5. Shesadri Banerjee, 2013. "Inflation Volatility and Activism of Monetary Policy," CEMAP Working Papers 2013_06, Durham University Business School.

  58. Efrem Castelnuovo, 2006. "Assessing Different Drivers of the GreatModeration in the U.S," "Marco Fanno" Working Papers 0025, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Anna Batyra, 2013. "Are Turbulences of Sargent and Ljungqvist consistent with lower Aggregate Volatility?," GIAM Working Papers 13-2, Galatasaray University Economic Research Center.
    2. Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2008. "Explaining the Great Moderation: it is not the shocks," Working Paper Series 865, European Central Bank.

  59. Efrem Castelnuovo, 2006. "Tracking U.S. Inflation Expectations with Domestic and Global Indicators," "Marco Fanno" Working Papers 0031, Dipartimento di Scienze Economiche "Marco Fanno".

    Cited by:

    1. Hamza Bennani, 2018. "Media Perception of Fed Chair's Overconfidence and Market Expectations," Working Papers hal-04141795, HAL.
    2. Hamza Bennani, 2023. "Overconfidence of the chair of the Federal Reserve and market expectations: Evidence based on media coverage," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3403-3419, July.
    3. Pierdzioch, Christian & Reid, Monique B. & Gupta, Rangan, 2016. "Inflation forecasts and forecaster herding: Evidence from South African survey data," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 62(C), pages 42-50.
    4. Tatsuyoshi OKIMOTO, 2018. "Trend Inflation and Monetary Policy Regimes in Japan," Discussion papers 18024, Research Institute of Economy, Trade and Industry (RIETI).
    5. Castelnuovo, Efrem, 2013. "Monetary policy shocks and financial conditions: A Monte Carlo experiment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 282-303.
    6. Murdipi, Rafiqa & Law, Siong Hook, 2016. "Dynamic Linkages between Price Indices and Inflation in Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 50(1), pages 41-52.

  60. Efrem Castelnuovo & Paolo Surico, 2005. "The Price Puzzle and Indeterminacy," Macroeconomics 0507021, University Library of Munich, Germany.

    Cited by:

    1. Giovanni Di Bartolomeo & Lorenza Rossi & Massimiliano Tancioni, 2006. "Monetary Policy under Rule-of-Thumb Consumers and External Habits: An International Empirical Comparison," Working Papers in Public Economics 97, Department of Economics and Law, Sapienza University of Rome.
    2. Barnett, William A. & Bella, Giovanni & Ghosh, Taniya & Mattana, Paolo & Venturi, Beatrice, 2022. "Is policy causing chaos in the United Kingdom?," Economic Modelling, Elsevier, vol. 108(C).
    3. Matthew Greenwood-Nimmo & Youngcheol Shin, 2011. "Shifting Preferences at the Fed: Evidence from Rolling Dynamic Multipliers and Impulse Response Analysis," Working Papers 2011-057, Madras School of Economics,Chennai,India.
    4. Haroon Mumtaz & Laura Sunder‐Plassmann, 2013. "Time‐Varying Dynamics Of The Real Exchange Rate: An Empirical Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 498-525, April.
    5. Ali, Syed Zahid & Anwar, Sajid, 2017. "Exchange rate pass through, cost channel to monetary policy transmission, adaptive learning, and the price puzzle," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 69-82.
    6. Giovanni Di Bartolomeo & Lorenza Rossi & Massimiliano Tancioni, 2007. "Monetary Policy under Rule-of-Thumb Consumers and External Habits," Money Macro and Finance (MMF) Research Group Conference 2006 1, Money Macro and Finance Research Group.
    7. Bianchi, Francesco & Mumtaz, Haroon & Surico, Paolo, 2009. "The great moderation of the term structure of UK interest rates," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 856-871, September.

  61. Efrem Castelnuovo, 2004. "Taylor rules, omitted variables, and interest rate smoothing in the US," Macroeconomics 0403009, University Library of Munich, Germany.

    Cited by:

    1. Yoosoon Chang & Steven N. Durlauf & Bo Hu & Joon Y. Park, 2024. "Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility," Working Papers No 03/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    2. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.
    3. Ciola, Emanuele & Turco, Enrico & Gurgone, Andrea & Bazzana, Davide & Vergalli, Sergio & Menoncin, Francesco, 2023. "Enter the MATRIX model:a Multi-Agent model for Transition Risks with application to energy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    4. Ferri, Piero & Cristini, Annalisa & Tramontana, Fabio, 2023. "Meta-models of the Phillips curve and income distribution," Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 215-232.
    5. Bernd Hayo & Matthias Neuenkirch, 2011. "Canadian Interest Rate Setting: The Information Content of Canadian and U.S. Central Bank Communication," Southern Economic Journal, John Wiley & Sons, vol. 78(1), pages 131-148, July.
    6. L’œillet, Guillaume & Licheron, Julien, 2012. "How does the European Central Bank react to oil prices?," Economics Letters, Elsevier, vol. 116(3), pages 445-447.
    7. Wieland, Volker & Wolters, Maik, 2013. "Forecasting and Policy Making," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 239-325, Elsevier.
    8. Pär Österholm, 2005. "The Taylor Rule: A Spurious Regression?," Bulletin of Economic Research, Wiley Blackwell, vol. 57(3), pages 217-247, July.
    9. Kasimir Kaliva, 2008. "The Fisher effect, survey data and time-varying volatility," Empirical Economics, Springer, vol. 35(1), pages 1-10, August.
    10. Cinzia Alcidi , Alessandro Flamini, Andrea Fracasso, 2005. ""Taylored rules". Does one fit (or hide) all?," IHEID Working Papers 04-2005, Economics Section, The Graduate Institute of International Studies, revised Apr 2006.
    11. Charles L. Evans & Jonas D. M. Fisher & François Gourio & Spencer D. Krane, 2015. "Risk Management for Monetary Policy Near the Zero Lower Bound," Working Paper Series WP-2015-3, Federal Reserve Bank of Chicago.
    12. Enrico Turco & Davide Bazzana & Massimiliano Rizzati & Emanuele Ciola & Sergio Vergalli, 2022. "Energy price shocks and stabilization policies in a multi-agent macroeconomic model for the Euro Area," Working Papers 2022.25, Fondazione Eni Enrico Mattei.
    13. Castelnuovo, Efrem, 2010. "Trend inflation and macroeconomic volatilities in the post-WWII U.S. economy," The North American Journal of Economics and Finance, Elsevier, vol. 21(1), pages 19-33, March.
    14. Alessandro Flamini & Costas Milas, 2010. "Real-time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty," Working Papers 2010015, The University of Sheffield, Department of Economics, revised Jun 2010.
    15. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," CESifo Working Paper Series 7900, CESifo.
    16. Bernd Hayo & Boris Hofmann, 2005. "Comparing Monetary Policy Reaction Functions: ECB versus Bundesbank," Marburg Working Papers on Economics 200502, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    17. Hayo, Bernd & Neuenkirch, Matthias, 2010. "Do Federal Reserve communications help predict federal funds target rate decisions?," Journal of Macroeconomics, Elsevier, vol. 32(4), pages 1014-1024, December.
    18. Wolters, Maik H., 2012. "Estimating monetary policy reaction functions using quantile regressions," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 342-361.
    19. Hayo, Bernd & Hofmann, Boris, 2003. "Monetary policy reaction functions: ECB versus Bundesbank," ZEI Working Papers B 24-2003, University of Bonn, ZEI - Center for European Integration Studies.
    20. Nicolas Pinkwart, 2013. "Quantifying The European Central Bank'S Interest Rate Smoothing Behavior," Manchester School, University of Manchester, vol. 81(4), pages 470-492, July.
    21. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    22. Matthew Greenwood-Nimmo & Youngcheol Shin, 2011. "Shifting Preferences at the Fed: Evidence from Rolling Dynamic Multipliers and Impulse Response Analysis," Working Papers 2011-057, Madras School of Economics,Chennai,India.
    23. Patrick Minford & Zhirong Ou & Michael Wickens, 2015. "Revisiting the Great Moderation: Policy or Luck?," Open Economies Review, Springer, vol. 26(2), pages 197-223, April.
    24. Apel, Mikael & Jansson, Per, 2005. "Some Further Evidence on Interest-Rate Smoothing: The Role of Measurement Errors in the Output Gap," Working Paper Series 178, Sveriges Riksbank (Central Bank of Sweden).
    25. Knut Are Aastveit & Jamie Cross & Francesco Furlanetto & Herman K. Van Dijk, 2024. "Taylor Rules with Endogenous Regimes," Tinbergen Institute Discussion Papers 24-030/III, Tinbergen Institute.
    26. Turco, Enrico & Bazzana, Davide & Rizzati, Massimiliano & Ciola, Emanuele & Vergalli, Sergio, 2023. "Energy price shocks and stabilization policies in the MATRIX model," Energy Policy, Elsevier, vol. 177(C).
    27. Caggiano, Giovanni & Castelnuovo, Efrem & Nodari, Gabriela, 2018. "Risk management-driven policy rate gap," Economics Letters, Elsevier, vol. 171(C), pages 235-238.
    28. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Melbourne Institute Working Paper Series wp2019n05, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    29. Minford, Patrick & Ou, Zhirong, 2009. "Taylor Rule or Optimal Timeless Policy? Reconsidering the Fed's behaviour since 1982," Cardiff Economics Working Papers E2009/19, Cardiff University, Cardiff Business School, Economics Section, revised May 2010.
    30. Efrem Castelnuovo & Giovanni Pellegrino, 2017. "Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation," CESifo Working Paper Series 6821, CESifo.
    31. Flamini, Alessandro & Fracasso, Andrea, 2011. "Household's preferences and monetary policy inertia," Economics Letters, Elsevier, vol. 111(1), pages 64-67, April.
    32. Castelnuovo, Efrem, 2009. "Testing the structural interpretation of the price puzzle with a cost channel model," Bank of Finland Research Discussion Papers 20/2009, Bank of Finland.
    33. Tas, Bedri Kamil Onur, 2011. "An explanation for the price puzzle: Asymmetric information and expectation dynamics," Journal of Macroeconomics, Elsevier, vol. 33(2), pages 259-275, June.
    34. Cinzia Alcidi & Alessandro Flamini & Andrea Fracasso, 2011. "Policy Regime Changes, Judgment and Taylor rules in the Greenspan Era," Economica, London School of Economics and Political Science, vol. 78(309), pages 89-107, January.
    35. Martin, C. & Milas, C., 2004. "Uncertainty and UK Monetary Policy," Working Papers 04/05, Department of Economics, City St George's, University of London.
    36. Knut Are Aastveit & Jamie Cross & Francesco Furlanetto & Herman K van Dijk, 2024. "Asymmetric Gradualism in US Monetary Policy," Tinbergen Institute Discussion Papers 24-074/III, Tinbergen Institute.
    37. Tas, Bedri Kamil Onur & Togay, Selahattin, 2010. "Optimal monetary policy regime for oil producing developing economies: Implications for post-war Iraq," Economic Modelling, Elsevier, vol. 27(5), pages 1324-1336, September.
    38. Bernd Hayo, 2006. "Is European Monetary Policy Appropriate for the EMU Member Countries? A Counterfactual Analysis," Marburg Working Papers on Economics 200610, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    39. De Lipsis Vincenzo, 2021. "Dating Structural Changes in UK Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(2), pages 509-539, June.
    40. Ciola, Emanuele & Turco, Enrico & Gurgone, Andrea & Bazzana, Davide & Vergalli, Sergio & Menoncin, Francesco, "undated". "Charging the macroeconomy with an energy sector: an agent-based model," FEEM Working Papers 319877, Fondazione Eni Enrico Mattei (FEEM).
    41. C. Richard Higgins & Irfan A. Qureshi, 2025. "Changes in central bank leadership and inflation dynamics," Southern Economic Journal, John Wiley & Sons, vol. 91(4), pages 1440-1473, April.
    42. Christopher Martin & Costas Milas, 2009. "Uncertainty And Monetary Policy Rules In The United States," Economic Inquiry, Western Economic Association International, vol. 47(2), pages 206-215, April.
    43. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
    44. Driffill, John & Rotondi, Zeno & Savona, Paolo & Zazzara, Cristiano, 2006. "Monetary policy and financial stability: What role for the futures market?," Journal of Financial Stability, Elsevier, vol. 2(1), pages 95-112, April.
    45. Hudson, Kerry & Vespignani, Joaquin L., 2015. "Understanding the Taylor Rule in Australia," MPRA Paper 104679, University Library of Munich, Germany.
    46. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," Melbourne Institute Working Paper Series wp2019n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    47. Manuel Joaquim Da Natividade Silva & Gutemberg Hespanha Brasil & Ricardo Ramalhete Moreira, 2016. "Dynamic relations of the inertia of monetary policy: application to the Brazilian case by a Kalman approach," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(1), pages 1-24.
    48. Matthias Neuenkirch & Pierre Siklos, 2011. "What’s in a Second Opinion? Shadowing the ECB and the Bank of England," MAGKS Papers on Economics 201131, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    49. Fabio Milani, 2008. "Monetary Policy With A Wider Information Set: A Bayesian Model Averaging Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(1), pages 1-30, February.

  62. Efrem Castelnuovo, 2004. "Describing the Fed's conduct with simple Taylor rules: is interest rate smoothing important?," Money Macro and Finance (MMF) Research Group Conference 2003 12, Money Macro and Finance Research Group.

    Cited by:

    1. Efrem Castelnuovo, 2004. "Taylor rules, omitted variables, and interest rate smoothing in the US," Macroeconomics 0403009, University Library of Munich, Germany.
    2. Bhaduri, Saumitra & Sethudurai, Raja, 2013. "Non-Linear Taylor Rule through Threshold Estimation," MPRA Paper 44844, University Library of Munich, Germany.

  63. Castelnuovo, Efrem, 2003. "Describing the Fed's conduct with Taylor rules: is interest rate smoothing important?," Working Paper Series 232, European Central Bank.

    Cited by:

    1. Ansgar Belke & Thorsten Polleit, 2007. "How the ECB and the US Fed set interest rates," Applied Economics, Taylor & Francis Journals, vol. 39(17), pages 2197-2209.
    2. Luís, Pacheco, 2004. "Asset Prices and Monetary Policy in the Euro Area: a tentative model," MPRA Paper 6579, University Library of Munich, Germany.
    3. Efrem Castelnuovo, 2004. "Taylor rules, omitted variables, and interest rate smoothing in the US," Macroeconomics 0403009, University Library of Munich, Germany.
    4. World Bank, 2022. "Egypt Economic Monitor, December 2022," World Bank Publications - Reports 38457, The World Bank Group.
    5. Mukherjee, Sanchita, 2011. "Does the level of capital openness explain “fear of floating” amongst the inflation targeting countries?," MPRA Paper 30289, University Library of Munich, Germany.
    6. Mihailov, Alexander, 2005. "Has more Independence Affected Bank of England's Reaction Function under Inflation Targeting? Lessons from Taylor Rule Empirics," Economics Discussion Papers 8894, University of Essex, Department of Economics.
    7. Paolo Surico, 2003. "Asymmetric Reaction Functions for the Euro Area," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 19(1), pages 44-57.
    8. baaziz, yosra, 2016. "Les règles de Taylor à l’épreuve de la révolution : cas de l’Égypte [The Taylor rule to the test of the revolution: the case of Egypt]," MPRA Paper 69779, University Library of Munich, Germany.
    9. Bhaduri, Saumitra & Sethudurai, Raja, 2013. "Non-Linear Taylor Rule through Threshold Estimation," MPRA Paper 44844, University Library of Munich, Germany.
    10. Ansgar Belke & Wim Kösters & Martin Leschke & Thorsten Polleit, 2005. "Back to the rules," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 268/2005, Department of Economics, University of Hohenheim, Germany.
    11. Owen F. Humpage & Sanchita Mukherjee, 2013. "Even keel and the Great Inflation," Working Papers (Old Series) 1315, Federal Reserve Bank of Cleveland.
    12. Belke, Ansgar & Potrafke, Niklas, 2009. "Does Government Ideology Matter in Monetary Policy? – A Panel Data Analysis for OECD Countries," Ruhr Economic Papers 94, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    13. Efrem Castelnuovo, 2007. "Taylor Rules And Interest Rate Smoothing In The Euro Area," Manchester School, University of Manchester, vol. 75(1), pages 1-16, January.
    14. Julio Carrillo & Patrick Fève & Julien Matheron, 2006. "Monetary Policy Inertia or Persistent Shocks?," Working papers 150, Banque de France.
    15. Carrillo, Julio A. & Fève, Patrick & Matheron, Julien, 2007. "Monetary Policy Inertia or Persistent Shocks: A DSGE Analysis," IDEI Working Papers 431, Institut d'Économie Industrielle (IDEI), Toulouse.
    16. Makoto Nakajima, 2023. "Monetary Policy with Racial Inequality," Opportunity and Inclusive Growth Institute Working Papers 070, Federal Reserve Bank of Minneapolis.
    17. Jean-Stéphane Mésonnier & Jean-Paul Renne, 2004. "règle de Taylor et politique mon taire dans la zone euro," Working papers 117, Banque de France.

  64. Efrem Castelnuovo, 2003. "Squeezing the Interest Rate Smoothing Weight with a Hybrid Expectations Model," Working Papers 2003.6, Fondazione Eni Enrico Mattei.

    Cited by:

    1. Efrem Castelnuovo, 2004. "Describing the Fed's conduct with simple Taylor rules: is interest rate smoothing important?," Money Macro and Finance (MMF) Research Group Conference 2003 12, Money Macro and Finance Research Group.
    2. Paolo Surico, 2004. "Inflation Targeting and Nonlinear Policy Rules: the Case of Asymmetric Preferences," Computing in Economics and Finance 2004 108, Society for Computational Economics.
    3. Castelnuovo, Efrem & Paolo Surico, 2003. "Why are Federal Funds Rates so Smooth?," Royal Economic Society Annual Conference 2003 39, Royal Economic Society.
    4. Castelnuovo, Efrem, 2003. "Describing the Fed's conduct with Taylor rules: is interest rate smoothing important?," Working Paper Series 232, European Central Bank.
    5. Paolo Surico, 2004. "Inflation Targeting and Nonlinear Policy Rules: The Case of Asymmetric Preferences (new title: The Fed's monetary policy rule and U.S. inflation: The case of asymmetric preferences)," CESifo Working Paper Series 1280, CESifo.
    6. Söderström, Ulf & Söderlind, Paul & Vredin, Anders, 2002. "New-Keynesian Models and Monetary Policy: A Reexamination of the Stylized Facts," SSE/EFI Working Paper Series in Economics and Finance 511, Stockholm School of Economics, revised 01 Oct 2003.
    7. Söderström, Ulf & Söderlind, Paul & Vredin, Anders, 2002. "Can a Calibrated New-Keynesian Model of Monetary Policy Fit the Facts?," Working Paper Series 140, Sveriges Riksbank (Central Bank of Sweden).
    8. Richard Dennis, 2004. "Inferring Policy Objectives from Economic Outcomes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(s1), pages 735-764, September.
    9. Surico, Paolo, 2007. "The Fed's monetary policy rule and U.S. inflation: The case of asymmetric preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 305-324, January.
    10. Mayer, Eric, 2003. "The mechanics of a reasonably fitted quarterly New Keynesian macro model," W.E.P. - Würzburg Economic Papers 41, University of Würzburg, Department of Economics.

  65. Efrem Castelnuovo, 2003. "Taylor Rules and Interest Rate Smoothing in the US and EMU," Macroeconomics 0303002, University Library of Munich, Germany.

    Cited by:

    1. Nicoletta Batini & Alejandro Justiniano & Paul Levine & Joseph Pearlman, 2004. "Robust Inflation-Forecast-Based Rules to Shield against Indeterminacy," School of Economics Discussion Papers 0804, School of Economics, University of Surrey.
    2. Nicoletta Batini & Paul Levine & Joseph Pearlman, 2004. "Indeterminacy with inflation-forecast-based rules in a two-bloc model," International Finance Discussion Papers 797, Board of Governors of the Federal Reserve System (U.S.).
    3. Ciola, Emanuele & Turco, Enrico & Gurgone, Andrea & Bazzana, Davide & Vergalli, Sergio & Menoncin, Francesco, 2023. "Enter the MATRIX model:a Multi-Agent model for Transition Risks with application to energy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    4. Charles L. Evans & Jonas D. M. Fisher & François Gourio & Spencer D. Krane, 2015. "Risk Management for Monetary Policy Near the Zero Lower Bound," Working Paper Series WP-2015-3, Federal Reserve Bank of Chicago.
    5. Emanuele Ciola & Enrico Turco & Andrea Gurgone & Davide Bazzana & Sergio Vergalli & Francesco Menoncin, 2022. "Charging the macroeconomy with an energy sector: an agent-based model," Working Papers 2022.09, Fondazione Eni Enrico Mattei.
    6. Nicoletta Batini & Paul Levine, 2004. "Robust Control Rules to Shield Against Indeterminacy," Computing in Economics and Finance 2004 339, Society for Computational Economics.
    7. C. Moons & A. Van Poeck, 2007. "Does one size fit all? A Taylor-rule based analysis of monetary policy for current and future EMU members," Applied Economics, Taylor & Francis Journals, vol. 40(2), pages 193-199.
    8. Leon, Costas, 2006. "The Taylor rule: can it be supported by the data?," MPRA Paper 1650, University Library of Munich, Germany.

  66. Castelnuovo, Efrem & Rodriguez-Palenzuela, Diego & Nicoletti Altimari, Sergio, 2003. "Definition of price stability, range and point inflation targets: the anchoring of long-term inflation expectations," Working Paper Series 273, European Central Bank.

    Cited by:

    1. Le Bihan, Hervé & Marx, Magali & Matheron, Julien, 2023. "Inflation tolerance ranges in the New Keynesian model," European Economic Review, Elsevier, vol. 153(C).
    2. Bańbura, Marta & Bobeica, Elena, 2020. "Does the Phillips curve help to forecast euro area inflation?," Working Paper Series 2471, European Central Bank.
    3. Iulia Iuga, 2019. "The Influence of Inflation rate on Robor in the Romanian Banking System - Case Study," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 607-613, August.
    4. Yoshihiko Hogen & Ryoichi Okuma, 2018. "The Anchoring of Inflation Expectations in Japan: A Learning-Approach Perspective," Bank of Japan Working Paper Series 18-E-8, Bank of Japan.
    5. Marie Diron & Benoit Mojon, 2008. "Are inflation targets good inflation forecasts?," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 32(Q II), pages 33-45.
    6. Amber Wadsworth, 2017. "An international comparison of inflation-targeting frameworks," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 80, pages 1-34, August.
    7. Zina CIORAN, 2014. "Effectiveness And Limitations Of Monetary Policy Instruments In Romania And The European Union," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 6(4), pages 43-56, December.
    8. Gianni Amisano & Marco Tronzano, 2005. "Assessing ECB?s Credibility During the First Years of the Eurosystem: A Bayesian Empirical Investigation," Working Papers ubs0512, University of Brescia, Department of Economics.
    9. Castelnuovo, Efrem, 2010. "Tracking U.S. inflation expectations with domestic and global indicators," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1340-1356, November.
    10. Lena Cleanthous, 2020. "Conceptual note on inflation targeting types and their performance in anchoring inflation expectations," Working Papers 2020-01, Central Bank of Cyprus.
    11. Cem Cakmakli & Selva Demiralp, 2020. "A Dynamic Evaluation of Central Bank Credibility," Koç University-TUSIAD Economic Research Forum Working Papers 2015, Koc University-TUSIAD Economic Research Forum.
    12. Alan S. Blinder, 2008. "Talking about Monetary Policy: The Virtues (and Vices?) of Central Bank Communication," Working Papers 1048, Princeton University, Department of Economics, Center for Economic Policy Studies..
    13. Kučerová, Zuzana & Pakši, Daniel & Koňařík, Vojtěch, 2024. "Macroeconomic fundamentals and attention: What drives european consumers’ inflation expectations?," Economic Systems, Elsevier, vol. 48(1).
    14. Olivier J. Blanchard & Jordi Galí, 2007. "The Macroeconomic Effects of Oil Price Shocks: Why Are the 2000s so Different from the 1970s?," NBER Chapters, in: International Dimensions of Monetary Policy, pages 373-421, National Bureau of Economic Research, Inc.
    15. Tadadjeu Wemba, Dessy-Karl & Essiane, Patrick-Nelson Daniel, 2019. "La crédibilité des politiques monétaires affecte-t-elle la croissance économique en Afrique subsaharienne? [Does the credibility of monetary policies affect economic growth in Sub-Saharan Africa?]," MPRA Paper 99961, University Library of Munich, Germany.
    16. Carlos Carrasco & Jesus Ferreiro, 2013. "Inflation targeting in Mexico," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 35(3), pages 341-372.
    17. Frederic S. Miskin & Klaus Schmidt-Hebbel, 2007. "Monetary Policy under Inflation Targeting: An Introduction," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 1, pages 001-022, Central Bank of Chile.
    18. Pompeo Della Posta & Roberto Tamborini, 2022. "The Eurozone as an inflation target zone," DEM Working Papers 2022/7, Department of Economics and Management.
    19. Alan S. Blinder & Michael Ehrmann & Marcel Fratzscher & Jakob De Haan & David-Jan Jansen, 2008. "Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence," Working Papers 2008-2, Princeton University. Economics Department..
    20. Frederic S. Miskin & Klaus Schmidt-Hebbel, 2007. "Does Inflation Targeting Make a Difference?," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.),Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 9, pages 291-372, Central Bank of Chile.
    21. Hogen, Yoshihiko & Okuma, Ryoichi, 2025. "The anchoring of inflation expectations in Japan: A learning-approach perspective," Japan and the World Economy, Elsevier, vol. 73(C).
    22. Olivier J. Blanchard & Jordi Gali, 2007. "The Macroeconomic Effects of Oil Shocks: Why are the 2000s So Different from the 1970s?," NBER Working Papers 13368, National Bureau of Economic Research, Inc.
    23. Ehrmann, Michael, 2021. "Point targets, tolerance bands or target ranges? Inflation target types and the anchoring of inflation expectations," Journal of International Economics, Elsevier, vol. 132(C).
    24. Baumann, Ursel & Darracq Pariès, Matthieu & Westermann, Thomas & Riggi, Marianna & Bobeica, Elena & Meyler, Aidan & Böninghausen, Benjamin & Fritzer, Friedrich & Trezzi, Riccardo & Jonckheere, Jana & , 2021. "Inflation expectations and their role in Eurosystem forecasting," Occasional Paper Series 264, European Central Bank.
    25. Cecion, Martina & Coenen, Günter & Gerke, Rafael & Le Bihan, Hervé & Motto, Roberto & Aguilar, Pablo & Ajevskis, Viktors & Giesen, Sebastian & Albertazzi, Ugo & Gilbert, Niels & Al-Haschimi, Alexander, 2021. "The ECB’s price stability framework: past experience, and current and future challenges," Occasional Paper Series 269, European Central Bank.
    26. Francesco Bianchi & Leonardo Melosi, 2012. "Constrained Discretion and Central Bank Transparency," PIER Working Paper Archive 13-041, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    27. Shunsuke Haba & Ryuichiro Hirano & Yuichiro Ito & Sohei Kaihatsu, 2026. "Changes in Perceptions about Monetary Policy: Estimating the Policy Reaction Function Using Market Survey Data," Bank of Japan Working Paper Series 26-E-5, Bank of Japan.
    28. Beechey, Meredith & Österholm, Pär, 2018. "Point versus Band Targets for Inflation," Working Papers 2018:8, Örebro University, School of Business.
    29. Christian Bordes & Laurent Clerc, 2007. "Price Stability and the ECB'S monetary policy strategy," Post-Print hal-00308557, HAL.
    30. Giovanni Caggiano & Efrem Castelnuovo, 2008. "Long Memory and Non-Linearities in International Inflation," "Marco Fanno" Working Papers 0076, Dipartimento di Scienze Economiche "Marco Fanno".
    31. Della Posta, Pompeo & Tamborini, Roberto, 2023. "Does an inflation target zone help or hinder price stability?," Economic Modelling, Elsevier, vol. 129(C).
    32. Amber Wadsworth, 0. "An international comparison of inflation-targeting frameworks," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 80.
    33. Gustav Horn, 2003. "Five years of the ECB - a mixed experience," Transfer: European Review of Labour and Research, , vol. 9(4), pages 633-645, November.
    34. Goran Petrevski, 2023. "Macroeconomic Effects of Inflation Targeting: A Survey of the Empirical Literature," Papers 2305.17474, arXiv.org.
    35. Diron, Marie & Mojon, Benoît, 2005. "Forecasting the central bank's inflation objective is a good rule of thumb," Working Paper Series 564, European Central Bank.
    36. Olivo, Victor, 2016. "Estabilidad de Precios en América Latina:¿Ya LLegamos Allí? [Price Stability in Latin America: Are We There Yet?]," MPRA Paper 76067, University Library of Munich, Germany, revised 02 Jan 2017.
    37. Michael Ehrmann, 2014. "Targeting Inflation from Below - How Do Inflation Expectations Behave?," Staff Working Papers 14-52, Bank of Canada.
    38. Alberto Naudon & Andrés Pérez, 2017. "An Overview of Inflation-Targeting Frameworks: Institutional Arrangements, Decision-making, & the Communication of Monetary Policy," Working Papers Central Bank of Chile 811, Central Bank of Chile.
    39. Pompeo Della Posta & Roberto Tamborini, 2022. "The Eurozone as an Inflation Target Zone," CESifo Working Paper Series 10014, CESifo.
    40. Apel, Mikael & Claussen, Carl Andreas, 2017. "Inflation targets and intervals – an overview of the issues," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue 1, pages 83-103.
    41. Virginie Traclet, 2004. "Monetary and Fiscal Policies in Canada: Some Interesting Principles for EMU?," Staff Working Papers 04-28, Bank of Canada.
    42. Petra Gerlach & Richhild Moessner & Rina Rosenblatt-Wisch, 2017. "Computing long‐term market inflation expectations for countries without inflation expectation markets," Working Papers 2017-09, Swiss National Bank.
    43. Lumengo Bonga-Bonga, 2017. "Assessing the Effectiveness of the Monetary Policy Instrument during the Inflation Targeting Period in South Africa," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, vol. 7(4), pages 706-713.
    44. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
    45. Yusuf Soner Baskaya & Hakan Kara & Defne Mutluer, 2008. "Expectations, Communication and Monetary Policy in Turkey," Working Papers 0801, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    46. Maarten Dossche & Gerdie Everaert, 2005. "Measuring Inflation Persistence: A Structural Time Series Approach," Computing in Economics and Finance 2005 459, Society for Computational Economics.
    47. Felix Geiger & Oliver Sauter & Kai D. Schmid, 2009. "The Camp View of Inflation Forecasts," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 320/2009, Department of Economics, University of Hohenheim, Germany.
    48. Große Steffen, Christoph, 2021. "Anchoring of long-term inflation expectations: Do inflation target formulations matter?," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242466, Verein für Socialpolitik / German Economic Association.
    49. Reint Gropp & Christoffer Kok & Jung-Duk Lichtenberger, 2014. "The Dynamics of Bank Spreads and Financial Structure," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 1-53.
    50. Levin, Andrew T. & Piger, Jeremy M. & Natalucci, Fabio M., 2004. "Explicit inflation objectives and macroeconomic outcomes," Working Paper Series 383, European Central Bank.
    51. Anna Loleyt & Ilya Gurov, 2011. "The process of formation of inflation expectations in an information economy," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 104-127, Bank for International Settlements.
    52. Martin Stojanovikj & Goran Petrevski, 2024. "Inflation targeting and disinflation costs in Emerging Market economies," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(1), pages 283-312, February.
    53. Csermely, Ágnes, 2006. "Az inflációs cél követésének rendszere Magyarországon [The system for targeting inflation goals in Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1058-1079.
    54. Sujit Kapadia, 2005. "Inflation-Target Expectations and Optimal Monetary Policy," Money Macro and Finance (MMF) Research Group Conference 2005 81, Money Macro and Finance Research Group.
    55. Mr. Scott Roger & Mr. Mark R. Stone, 2005. "On Target? the International Experience with Achieving Inflation Targets," IMF Working Papers 2005/163, International Monetary Fund.
    56. Marlene Amstad & Simon M. Potter & Robert W. Rich, 2014. "The FRBNY staff underlying inflation gauge: UIG," Staff Reports 672, Federal Reserve Bank of New York.
    57. Mr. Etienne B Yehoue, 2012. "On Price Stability and Welfare," IMF Working Papers 2012/189, International Monetary Fund.
    58. de Mello Luiz & Moccero Diego & Mogliani Matteo, 2013. "Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 141-165, April.
    59. Vitor Gaspar & Anil K. Kashyap, 2006. "Stability First: Reflections Inspired by Otmar Issing's Success as the ECB's Chief Economist," NBER Working Papers 12277, National Bureau of Economic Research, Inc.
    60. Marlene Amstad & Simon M. Potter, 2009. "Real time underlying inflation gauges for monetary policymakers," Staff Reports 420, Federal Reserve Bank of New York.
    61. Matteo Luciani, 2004. "A VAR Model for the Analysis of the Effects of Monetary Policy in the Euro Area," ULB Institutional Repository 2013/153332, ULB -- Universite Libre de Bruxelles.
    62. Balatti, Mirco, 2020. "Inflation volatility in small and large advanced open economies," Working Paper Series 2448, European Central Bank.

  67. Marzio Galeotti & Sergio Vergalli & Efrem Castelnuovo & Gretel Gambarelli, 2003. "Learning by Doing vs Learning by Researching in a Model of Climate Change Policy Analysis," Working Papers 2003.11, Fondazione Eni Enrico Mattei.

    Cited by:

    1. David Grover, 2012. "The �advancedness� of knowledge in pollutionsaving technological change with a qualitative application to SO2 cap and trade," GRI Working Papers 100, Grantham Research Institute on Climate Change and the Environment.
    2. Nicola Cantore & Emilio Padilla, 2007. "Equity and CO2 emissions distribution in climate change integrated assessment modelling," DEIAgra Working Papers 7001, Alma Mater Studiorum University of Bologna, Department of Agricultural Economics and Engineering, revised May 2007.
    3. Tilmann Rave & Ursula Triebswetter & Johann Wackerbauer, 2013. "Koordination von Innovations-, Energie- und Umweltpolitik," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 61.
    4. Castelnuovo, Efrem & Galeotti, Marzio & Gambarelli, Gretel & Vergalli, Sergio, 2005. "Learning-by-Doing vs. Learning by Researching in a model of climate change policy analysis," Ecological Economics, Elsevier, vol. 54(2-3), pages 261-276, August.
    5. Nicola Cantore & Emilio Padilla, 2007. "Equity and CO2 Emissions Distribution in Climate Change Integrated Assessment," Working Papers wpdea0705, Department of Applied Economics at Universitat Autonoma of Barcelona.
    6. Lehmann, Paul, 2013. "Supplementing an emissions tax by a feed-in tariff for renewable electricity to address learning spillovers," Energy Policy, Elsevier, vol. 61(C), pages 635-641.
    7. Kim, Hansung & Lee, Hwarang & Koo, Yoonmo & Choi, Dong Gu, 2020. "Comparative analysis of iterative approaches for incorporating learning-by-doing into the energy system models," Energy, Elsevier, vol. 197(C).
    8. Valentina Bosetti & Carlo Carraro & Marzio Galeotti, 2005. "The Dynamics of Carbon and Energy Intensity in a Model of Endogenous Technical Change," Working Papers 2005.6, Fondazione Eni Enrico Mattei.
    9. Grover, David, 2013. "The ‘advancedness’ of knowledge in pollution-saving technological change with a qualitative application to SO2 cap and trade," Ecological Economics, Elsevier, vol. 89(C), pages 123-134.
    10. Elena Verdolini & Marzio Galeotti, 2009. "At Home and Abroad: An Empirical Analysis of Innovation and Diffusion in Energy-Efficient Technologies," Working Papers 2009.123, Fondazione Eni Enrico Mattei.
    11. Barry Anderson & Emanuele Borgonovo & Marzio Galeotti & Roberto Roson, 2014. "Uncertainty in Climate Change Modeling: Can Global Sensitivity Analysis Be of Help?," Risk Analysis, John Wiley & Sons, vol. 34(2), pages 271-293, February.
    12. Castellini, Marta & Castelli, Chiara & Gusperti, Camilla & Lupi, Veronica & Vergalli, Sergio, 2025. "Balancing climate policies and economic development in the Mediterranean countries," Energy Economics, Elsevier, vol. 145(C).
    13. Martin Stuermer & Maxwell Fleming & Ian Lange & Sayeh Shojaeinia, 2023. "Growth and Resources in Space: Pushing the Final Frontier?," Working Papers 2023-02, Colorado School of Mines, Division of Economics and Business.
    14. Berglund, Christer & Soderholm, Patrik, 2006. "Modeling technical change in energy system analysis: analyzing the introduction of learning-by-doing in bottom-up energy models," Energy Policy, Elsevier, vol. 34(12), pages 1344-1356, August.
    15. Georgios Karakatsanis & Christos Makropoulos, 2024. "Chemical Leasing (Ch.L.) and the Sherwood Plot," Resources, MDPI, vol. 13(5), pages 1-35, May.
    16. Sansi Yang & C. Richard Shumway, 2020. "Knowledge accumulation in US agriculture: research and learning by doing," Journal of Productivity Analysis, Springer, vol. 54(2), pages 87-105, December.
    17. Sylvie Geisendorf, 2016. "The impact of personal beliefs on climate change: the “battle of perspectives” revisited," Journal of Evolutionary Economics, Springer, vol. 26(3), pages 551-580, July.
    18. Marzio Galeotti & Carlo Carraro, 2004. "Does Endogenous Technical Change Make a Difference in Climate Policy Analysis? A Robustness Exercise with the FEEM-RICE Model," Working Papers 2004.152, Fondazione Eni Enrico Mattei.
    19. Martin Junginger & Wilfried van Sark & André Faaij (ed.), 2010. "Technological Learning in the Energy Sector," Books, Edward Elgar Publishing, number 13741.
    20. Kahouli-Brahmi, Sondes, 2008. "Technological learning in energy-environment-economy modelling: A survey," Energy Policy, Elsevier, vol. 36(1), pages 138-162, January.
    21. Niall Farrell & Seán Lyons, 2016. "Equity impacts of energy and climate policy: who is shouldering the burden?," Wiley Interdisciplinary Reviews: Energy and Environment, Wiley Blackwell, vol. 5(5), pages 492-509, September.
    22. Valentina Bosetti & Carlo Carraro & Marzio Galeotti, 2006. "Stabilisation Targets, Technical Change and the Macroeconomic Costs of Climate Change Control," Working Papers 2006.2, Fondazione Eni Enrico Mattei.
    23. Karali, Nihan & Park, Won Young & McNeil, Michael, 2017. "Modeling technological change and its impact on energy savings in the U.S. iron and steel sector," Applied Energy, Elsevier, vol. 202(C), pages 447-458.
    24. Gillingham, Kenneth & Newell, Richard G. & Pizer, William A., 2008. "Modeling endogenous technological change for climate policy analysis," Energy Economics, Elsevier, vol. 30(6), pages 2734-2753, November.
    25. Shunli Wang & Henri L.F. de Groot & Peter Nijkamp & Erik T. Verhoef, 2009. "Global and Regional Impacts of the Clean Development Mechanism," Tinbergen Institute Discussion Papers 09-045/3, Tinbergen Institute.
    26. Leeuwen, E.S. van & Nijkamp, P. & Rietveld, P., 2011. "Climate change: From global concern to regional challenge," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

  68. Carraro, Carlo & Galeotti, Marzio & Buonanno, Paolo & Castelnuovo, Efrem, 2000. "Emission Trading Restrictions with Endogenous Technological Change," CEPR Discussion Papers 2514, Centre for Economic Policy Research.

    Cited by:

    1. Buchner, Barbara & Carraro, Carlo, 2005. "Modelling climate policy: Perspectives on future negotiations," Journal of Policy Modeling, Elsevier, vol. 27(6), pages 711-732, September.
    2. Castelnuovo, Efrem & Galeotti, Marzio & Gambarelli, Gretel & Vergalli, Sergio, 2005. "Learning-by-Doing vs. Learning by Researching in a model of climate change policy analysis," Ecological Economics, Elsevier, vol. 54(2-3), pages 261-276, August.
    3. Carlo Carraro & Barbara Buchner, 2006. "Regional and sub-global climate blocs. A game-theoretic perspective on bottom-up climate regimes," Working Papers 2006_10, Department of Economics, University of Venice "Ca' Foscari".
    4. Reyer Gerlagh & Bob van der Zwaan & Marjan Hofkes & Ger Klaassen, 2004. "Impacts of CO 2 -Taxes in an Economy with Niche Markets and Learning-by-Doing," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 28(3), pages 367-394, July.
    5. Marzio Galeotti, 2003. "Environment and Economic Growth: Is Technical Change the Key to Decoupling?," Working Papers 2003.90, Fondazione Eni Enrico Mattei.
    6. Bretschger, Lucas & Ramer, Roger & Schwark, Florentine, 2011. "Growth effects of carbon policies: Applying a fully dynamic CGE model with heterogeneous capital," Resource and Energy Economics, Elsevier, vol. 33(4), pages 963-980.
    7. Carraro, Carlo & Buchner, Barbara & Cersosimo, Igor & Marchiori, Carmen, 2002. "Back to Kyoto? US Participation and the Linkage Between R&D and Climate Cooperation," CEPR Discussion Papers 3299, Centre for Economic Policy Research.
    8. Castellini, Marta & Castelli, Chiara & Gusperti, Camilla & Lupi, Veronica & Vergalli, Sergio, 2025. "Balancing climate policies and economic development in the Mediterranean countries," Energy Economics, Elsevier, vol. 145(C).
    9. Zheng, Qinyue & Wang, Xingmin & Bao, Chunbing, 2024. "Enterprise R&D, manufacturing innovation and macroeconomic impact: An evaluation of China’s Policy," Journal of Policy Modeling, Elsevier, vol. 46(2), pages 289-303.
    10. Marzio Galeotti & Carlo Carraro, 2004. "Does Endogenous Technical Change Make a Difference in Climate Policy Analysis? A Robustness Exercise with the FEEM-RICE Model," Working Papers 2004.152, Fondazione Eni Enrico Mattei.
    11. Lucas Bretschger & Roger Ramer & Florentine Schwark, 2010. "Long-Run Effects of Post-Kyoto Policies: Applying a Fully Dynamic CGE model with Heterogeneous Capital," CER-ETH Economics working paper series 10/129, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    12. Jesse Matheson, 2011. "Prices and social behavior: A study of adult smoking in Canadian Aboriginal communities," Discussion Papers in Economics 11/50, Division of Economics, School of Business, University of Leicester, revised Dec 2012.
    13. Carlo Carraro & Barbara Buchner, 2003. "China and the Evolution of the Present Climate Regime," Working Papers 2003.103, Fondazione Eni Enrico Mattei.
    14. Rolf Golombek & Michael Hoel, 2003. "Climate Policy under Technology Spillovers," Working Papers 2003.38, Fondazione Eni Enrico Mattei.
    15. Takanobu Kosugi, 2010. "Assessments of ‘Greenhouse Insurance’: A Methodological Review," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(4), pages 345-363, December.
    16. Florentine Schwark, 2010. "Economics of Endogenous Technical Change in CGE Models - The Role of Gains from Specialization," CER-ETH Economics working paper series 10/130, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    17. Barbara Buchner & Marzio Galeotti, 2003. "Climate Policy and Economic Growth in Developing Countries," Working Papers 2003.91, Fondazione Eni Enrico Mattei.
    18. Buonanno, Paolo & Carraro, Carlo & Galeotti, Marzio, 2003. "Endogenous induced technical change and the costs of Kyoto," Resource and Energy Economics, Elsevier, vol. 25(1), pages 11-34, February.
    19. Maria José Gil-Moltó & Dimitrios Varvarigos, 2011. "Emission Taxes and the Adoption of Cleaner Technologies: The Case of Environmentally Conscious Consumers," Discussion Papers in Economics 11/49, Division of Economics, School of Business, University of Leicester.
    20. Jan Corfee Morlot, 2001. "The OECD and Ghg Mitigation: A Policy Perspective," Energy & Environment, , vol. 12(2-3), pages 107-116, March.
    21. Carlo Carraro & Barbara Buchner, 2006. "US, China and the economics of climate negotiations," Working Papers 2006_07, Department of Economics, University of Venice "Ca' Foscari".

Articles

  1. Efrem Castelnuovo & Kerem Tuzcuoglu & Luis Uzeda, 2025. "Sectoral Uncertainty: A Hierarchical-Volatility Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 43(4), pages 1051-1063, October.

    Cited by:

    1. Bellocca, Gian Pietro Enzo & Garrón Vedia, Ignacio & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2026. "The empirical distribution of sequential LS factors in Multi-level Dynamic Factor Models," DES - Working Papers. Statistics and Econometrics. WS 49336, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Popp, Aaron & Zhang, Fang, 2025. "Divergent effects of aggregate and local uncertainty shocks: Evidence from US metropolitan areas," Economic Modelling, Elsevier, vol. 152(C).

  2. Efrem Castelnuovo & Lorenzo Mori, 2025. "Uncertainty, Skewness, and the Business Cycle Through the MIDAS Lens," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(1), pages 89-107, January.
    See citations under working paper version above.
  3. Andreasen, Martin M. & Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2024. "Does risk matter more in recessions than in expansions? Implications for monetary policy," Journal of Monetary Economics, Elsevier, vol. 143(C).

    Cited by:

    1. Hausmann-Guil, Guillermo, 2026. "Approximating around the stochastic steady state matters: rethinking uncertainty shocks in small open economies," Journal of Economic Dynamics and Control, Elsevier, vol. 184(C).
    2. Guillermo Hausmann-Guil, 2025. "Solving DSGE models with incomplete markets by perturbation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 57, July.
    3. Metiu, Norbert & Prieto, Esteban, 2025. "Time-varying stock return correlation, news shocks, and business cycles," European Economic Review, Elsevier, vol. 172(C).
    4. Metiu, Norbert & Völpel, Martin, 2026. "Geopolitical hybrid threats," Discussion Papers 11/2026, Deutsche Bundesbank.
    5. Davide Brignone & Luca Gambetti & Martino Ricci, 2025. "Geopolitical risk shocks: when size matters," Bank of England Staff Working Paper series 1118, Bank of England.
    6. Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2025. "The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-22, December.
    7. Efrem Castelnuovo & Lorenzo Mori, 2025. "Uncertainty, Skewness, and the Business Cycle Through the MIDAS Lens," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(1), pages 89-107, January.
    8. Beckmann, Joscha & Bettendorf, Timo, 2025. "On the effects of global uncertainty shocks on portfolio flows," Discussion Papers 23/2025, Deutsche Bundesbank.
    9. Marco Brianti & Mario Forni & Luca Gambetti & Antonio Granese, 2026. "Nonlinear Business-Cycle Anatomy," Working Papers wp1221, Dipartimento Scienze Economiche, Universita' di Bologna.
    10. Lutz Kilian & Michael D. Plante & Alexander W. Richter, 2025. "Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(4), pages 395-410, June.
    11. Elena Mattevi & Tullia Padellini, 2025. "Firm-level uncertainty and output prices," Questioni di Economia e Finanza (Occasional Papers) 966, Bank of Italy, Economic Research and International Relations Area.
    12. Martin Iseringhausen & Konstantinos Theodoridis, 2025. "A survey-based measure of asymmetric macroeconomic risk in the euro area," Working Papers 68, European Stability Mechanism, revised 11 Feb 2025.
    13. Matthew Read, 2026. "Shock-percentile Restrictions for SVARs," RBA Research Discussion Papers rdp2026-01, Reserve Bank of Australia.

  4. Giovanni Angelini & Giovanni Caggiano & Efrem Castelnuovo & Luca Fanelli, 2023. "Are Fiscal Multipliers Estimated with Proxy‐SVARs Robust?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 95-122, February.
    See citations under working paper version above.
  5. Efrem Castelnuovo, 2023. "Uncertainty before and during COVID‐19: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(3), pages 821-864, July.
    See citations under working paper version above.
  6. Giovanni Caggiano & Efrem Castelnuovo, 2023. "Global financial uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 432-449, April.

    Cited by:

    1. Lukas Berend & Jan Pruser, 2025. "Sharpening Identification in Large Structural VARs Using Narrative Restrictions," Papers 2505.19244, arXiv.org, revised May 2026.
    2. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2023. "Global impacts of US monetary policy uncertainty shocks," Journal of International Economics, Elsevier, vol. 145(C).
    3. Fusari, Francesco, 2025. "Identifying monetary policy shocks through external constraints," Journal of Macroeconomics, Elsevier, vol. 85(C).
    4. Matthew Read, 2023. "Estimating the Effects of Monetary Policy in Australia Using Sign‐restricted Structural Vector Autoregressions," The Economic Record, The Economic Society of Australia, vol. 99(326), pages 329-358, September.
    5. Nektarios Aslanidis & Aurelio Bariviera & George Kapetanios & Vasilis Sarafidis, 2025. "Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach," Papers 2506.21100, arXiv.org.
    6. Lu, Fei & Ma, Feng & Guo, Qiang, 2023. "Less is more? New evidence from stock market volatility predictability," International Review of Financial Analysis, Elsevier, vol. 89(C).
    7. Binder, Carola & Ozturk, Ezgi & Sheng, Xuguang Simon, 2025. "The effects of inflation uncertainty on firms and the macroeconomy," Journal of International Money and Finance, Elsevier, vol. 151(C).
    8. Wang, Xinya & Xu, Xin & Rong, Xueyun & Xuan, Siyuan, 2024. "Identification of the contagion effect in China's financial market uncertainties: A multiscale and dynamic perspective," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1340-1362.
    9. Serdar Kabaca & Kerem Tuzcuoglu, 2023. "Supply Drivers of US Inflation Since the COVID-19 Pandemic," Staff Working Papers 23-19, Bank of Canada.
    10. Beckmann, Joscha & Bettendorf, Timo, 2025. "On the effects of global uncertainty shocks on portfolio flows," Discussion Papers 23/2025, Deutsche Bundesbank.
    11. Baxa, Jaromír & Šestořád, Tomáš, 2025. "Common and country-specific uncertainty shocks in europe: Why their nature matters for policy," Economic Modelling, Elsevier, vol. 150(C).
    12. Matthew Read, 2026. "Shock-percentile Restrictions for SVARs," RBA Research Discussion Papers rdp2026-01, Reserve Bank of Australia.
    13. Huang, Yu-Fan & Liao, Wenting & Wang, Taining, 2024. "Does US financial uncertainty spill over through the (asymmetric) international credit channel? The role of market expectations," Journal of International Money and Finance, Elsevier, vol. 148(C).
    14. O-Chia Chuang & Rangan Gupta & Christian Pierdzioch & Buliao Shu, 2024. "Financial Uncertainty and Gold Market Volatility: Evidence from a GARCH-MIDAS Approach with Variable Selection," Working Papers 202441, University of Pretoria, Department of Economics.
    15. Ma, Yong & Li, Shuaibing & Zhou, Mingtao, 2024. "Forecasting crude oil prices: Does global financial uncertainty matter?," International Review of Economics & Finance, Elsevier, vol. 96(PC).

  7. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2023. "Uncertainty And Monetary Policy During The Great Recession," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(2), pages 577-606, May.
    See citations under working paper version above.
  8. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2022. "Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009)," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 210-217, January.

    Cited by:

    1. Giovanni Caggiano & Efrem Castelnuovo, 2023. "Global financial uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 432-449, April.
    2. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    3. Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2025. "The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-22, December.
    4. Iacopini, Matteo & Poon, Aubrey & Rossini, Luca & Zhu, Dan, 2023. "Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
    5. Orlowski, Lucjan T., 2023. "How susceptible is the European financial stability to economic policy uncertainty?," Journal of Policy Modeling, Elsevier, vol. 45(4), pages 864-875.
    6. Efrem Castelnuovo & Lorenzo Mori, 2022. "Uncertainty, Skewness, and the Business Cycle through the MIDAS Lens," CESifo Working Paper Series 10062, CESifo.
    7. Marco Brianti & Mario Forni & Luca Gambetti & Antonio Granese, 2026. "Nonlinear Business-Cycle Anatomy," Working Papers wp1221, Dipartimento Scienze Economiche, Universita' di Bologna.
    8. Summaira Malik & Ali Abbas & Malik Shahzad Shabbir & Carlos Samuel Ramos-Meza, 2024. "Business Cycle Fluctuations, Foreign Direct Investment, and Real Effective Exchange Rate Nexus Among Asian Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(2), pages 5466-5479, June.
    9. Grimme, Christian & Henzel, Steffen R., 2024. "Uncertainty and credit conditions: Non-linear evidence from firm-level data," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1307-1323.
    10. Jamie L. Cross & Lennart Hoogerheide & Paul Labonne & Herman K. van Dijk, 2023. "Bayesian Mode Inference for Discrete Distributions in Economics and Finance," Working Papers No 11/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    11. Pintér, Gábor, 2023. "Inflation and uncertainty in New Keynesian models: A note," Economics Letters, Elsevier, vol. 222(C).

  9. Caggiano, Giovanni & Castelnuovo, Efrem & Delrio, Silvia & Kima, Richard, 2021. "Financial uncertainty and real activity: The good, the bad, and the ugly," European Economic Review, Elsevier, vol. 136(C).
    See citations under working paper version above.
  10. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2021. "Uncertainty shocks and the great recession: Nonlinearities matter," Economics Letters, Elsevier, vol. 198(C).

    Cited by:

    1. Hristov, Nikolay & Roth, Markus, 2022. "Uncertainty shocks and systemic-risk indicators," Journal of International Money and Finance, Elsevier, vol. 122(C).
    2. Siye Bae & Soojin Jo & Myungkyu Shim, 2025. "Does Economic Policy Uncertainty differ from other uncertainty measures? Replication of Baker, Bloom, and Davis (2016)," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 58(1), pages 40-74, February.
    3. Himounet, Nicolas, 2022. "Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks," International Economics, Elsevier, vol. 170(C), pages 1-31.
    4. Nicolas Himounet, 2022. "Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks," Post-Print hal-05113023, HAL.
    5. Mathias Krogh & Giovanni Pellegrino, 2024. "Real Activity and Uncertainty Shocks: The Long and the Short of It," "Marco Fanno" Working Papers 0310, Dipartimento di Scienze Economiche "Marco Fanno".
    6. Giovanni Caggiano & Efrem Castelnuovo, 2023. "Global financial uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 432-449, April.
    7. Petar Soric & Oscar Claveria, 2021. "“Employment uncertainty a year after the irruption of the covid-19 pandemic”," AQR Working Papers 202104, University of Barcelona, Regional Quantitative Analysis Group, revised May 2021.
    8. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    9. Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2025. "The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-22, December.
    10. Josué Diwambuena & Jean-Paul K. Tsasa, 2021. "The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models," BEMPS - Bozen Economics & Management Paper Series BEMPS87, Faculty of Economics and Management at the Free University of Bozen.
    11. Francisco Serranito & Julien Vauday & Nicolas Himounet, 2022. "A Positive Effect of Uncertainty Shocks on the Economy: Is the Chase Over ?," EconomiX Working Papers 2022-26, University of Paris Nanterre, EconomiX.
    12. Efrem Castelnuovo & Lorenzo Mori, 2025. "Uncertainty, Skewness, and the Business Cycle Through the MIDAS Lens," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(1), pages 89-107, January.
    13. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning," Working Papers 202111, University of Pretoria, Department of Economics.
    14. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2022. "Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1049-1064, September.
    15. Maghyereh, Aktham & Awartani, Basel & Abdoh, Hussein, 2022. "Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
    16. Oscar Claveria & Petar Sorić, 2023. "Labour market uncertainty after the irruption of COVID-19," Empirical Economics, Springer, vol. 64(4), pages 1897-1945, April.
    17. Grimme, Christian & Henzel, Steffen, 2023. "Uncertainty Shocks in Times of Low and High Uncertainty," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277629, Verein für Socialpolitik / German Economic Association.
    18. Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021. "Risky Business Cycles," Boston College Working Papers in Economics 1029, Boston College Department of Economics, revised 17 Sep 2024.
    19. Corrêa, Wilson Luiz Rotatori & Lopes, Luckas Sabioni, 2023. "Monetary policy transmission, productive activity, and inflation in Brazil: Does uncertainty matter?," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).

  11. Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2020. "Economic Policy Uncertainty Spillovers in Booms and Busts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(1), pages 125-155, February.
    See citations under working paper version above.
  12. Caggiano, Giovanni & Castelnuovo, Efrem & Kima, Richard, 2020. "The global effects of Covid-19-induced uncertainty," Economics Letters, Elsevier, vol. 194(C).
    See citations under working paper version above.
  13. Jonas E. Arias & Guido Ascari & Nicola Branzoli & Efrem Castelnuovo, 2020. "Positive Trend Inflation and Determinacy in a Medium-Sized New Keynesian Model," International Journal of Central Banking, International Journal of Central Banking, vol. 16(3), pages 51-94, June.
    See citations under working paper version above.
  14. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 52(3), pages 323-335, September.
    See citations under working paper version above.
  15. Efrem Castelnuovo & Guay Lim, 2019. "What Do We Know About the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 52(1), pages 78-93, March.
    See citations under working paper version above.
  16. Bacchiocchi, Emanuele & Castelnuovo, Efrem & Fanelli, Luca, 2018. "Gimme A Break! Identification And Estimation Of The Macroeconomic Effects Of Monetary Policy Shocks In The United States," Macroeconomic Dynamics, Cambridge University Press, vol. 22(6), pages 1613-1651, September.

    Cited by:

    1. Lütkepohl, Helmut & Woźniak, Tomasz, 2020. "Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
    2. Bruns, Martin & Lütkepohl, Helmut, 2024. "Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies," Journal of Economic Dynamics and Control, Elsevier, vol. 161(C).
    3. Daniel Lewis, 2024. "Identification based on higher moments," CeMMAP working papers 03/24, Institute for Fiscal Studies.
    4. Emanuele Bacchiocchi & Toru Kitagawa, 2020. "Locally- but not globally-identified SVARs," CeMMAP working papers CWP40/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. G. Angelini & L. Fanelli, 2018. "Identification and estimation issues in Structural Vector Autoregressions with external instruments," Working Papers wp1122, Dipartimento Scienze Economiche, Universita' di Bologna.

  17. Efrem Castelnuovo & Guay Lim & Giovanni Pellegrino, 2018. "Macroeconomic Policies in a Low Interest Rate Environment: Back to Keynes?," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(1), pages 70-86, March.

    Cited by:

    1. Kazi Musa & Kazi Sohag & Jamaliah Said & Farha Ghapar & Norli Ali, 2023. "Public Debt, Governance, and Growth in Developing Countries: An Application of Quantile via Moments," Mathematics, MDPI, vol. 11(3), pages 1-13, January.
    2. Yohanes Maria Vianey Mudayen & Lincolin Arsyad & Rimawan Pradiptyo & Sekar Utami Setiastuti, 2025. "Does Public Debt Encourage Economic Growth? An Application of Quantile Regressions to Panel Data for Developing Countries," Economies, MDPI, vol. 13(4), pages 1-31, April.

  18. Castelnuovo, Efrem & Pellegrino, Giovanni, 2018. "Uncertainty-dependent effects of monetary policy shocks: A new-Keynesian interpretation," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 277-296.
    See citations under working paper version above.
  19. Caggiano, Giovanni & Castelnuovo, Efrem & Nodari, Gabriela, 2018. "Risk management-driven policy rate gap," Economics Letters, Elsevier, vol. 171(C), pages 235-238.
    See citations under working paper version above.
  20. Castelnuovo, Efrem & Tran, Trung Duc, 2017. "Google It Up! A Google Trends-based Uncertainty index for the United States and Australia," Economics Letters, Elsevier, vol. 161(C), pages 149-153.
    See citations under working paper version above.
  21. Caggiano, Giovanni & Castelnuovo, Efrem & Figueres, Juan Manuel, 2017. "Economic policy uncertainty and unemployment in the United States: A nonlinear approach," Economics Letters, Elsevier, vol. 151(C), pages 31-34.
    See citations under working paper version above.
  22. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2017. "Estimating the real effects of uncertainty shocks at the Zero Lower Bound," European Economic Review, Elsevier, vol. 100(C), pages 257-272.
    See citations under working paper version above.
  23. Caggiano, Giovanni & Castelnuovo, Efrem & Damette, Olivier & Parent, Antoine & Pellegrino, Giovanni, 2017. "Liquidity traps and large-scale financial crises," Journal of Economic Dynamics and Control, Elsevier, vol. 81(C), pages 99-114.
    See citations under working paper version above.
  24. Efrem Castelnuovo & Guay Lim & Giovanni Pellegrino, 2017. "A Short Review of the Recent Literature on Uncertainty," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 50(1), pages 68-78, March.

    Cited by:

    1. Zulquar Nain & Bandi Kamaiah, 2020. "Uncertainty and Effectiveness of Monetary Policy: A Bayesian Markov Switching-VAR Analysis," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 237-265.
    2. Chandan Sharma & Ritesh Kumar Mishra, 2023. "The great lockdown, uncertainty and trade: asymmetric impact on imports," Empirical Economics, Springer, vol. 65(6), pages 2805-2836, December.
    3. Bontempi, Maria Elena & Charemza, Wojciech & Makarova, Svetlana, 2025. "Economic uncertainty measures, experts and large language models," Journal of International Money and Finance, Elsevier, vol. 157(C).
    4. Saygin Sahinoz & Evren Erdogan Cosar, 2020. "Quantifying uncertainty and identifying its impacts on the Turkish economy," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(2), pages 365-387, May.
    5. Amritkant MISHRA, 2024. "Do Economic Policy Uncertainty Have Ramifications On Inflation And Stock Market Performance? Evidence From Global Framework," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 19(3), pages 172-190, December.
    6. Sophie Brochet & Hannes Mueller & Christopher Rauh, 2025. "Uncovering Economic Policy Uncertainty During Conflict," Working Papers 1503, Barcelona School of Economics.
    7. Yanele Nyamela & Vasilios Plakandaras & Rangan Gupta, 2018. "Frequency-Dependent Real-Time Effects of Uncertainty in the United States: Evidence from Daily Data," Working Papers 201833, University of Pretoria, Department of Economics.
    8. Trung, Nguyen Ba, 2019. "The spillover effects of US economic policy uncertainty on the global economy: A global VAR approach," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 90-110.
    9. Salisu, Afees A. & Gupta, Rangan & Karmakar, Sayar & Das, Sonali, 2022. "Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty," Resources Policy, Elsevier, vol. 75(C).
    10. Woraphon Yamaka & Rangan Gupta & Sukrit Thongkairat & Paravee Maneejuk, 2023. "Structural and predictive analyses with a mixed copula‐based vector autoregression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 223-239, March.
    11. Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    12. Hamish Burrell & Joaquin Vespignani, 2020. "Industrial Impact of Economic Uncertainty Shocks in Australia [Impact industriel des chocs D'incertitude économique en Australie]," Working Papers hal-03053360, HAL.
    13. Plakandaras, Vasilios & Gupta, Rangan & Balcilar, Mehmet & Ji, Qiang, 2022. "Evolving United States stock market volatility: The role of conventional and unconventional monetary policies," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    14. Nikolaos Antonakakis & David Gabauer & Rangan Gupta, 2018. "Greek Economic Policy Uncertainty: Does it Matter for the European Union?," Working Papers 201840, University of Pretoria, Department of Economics.
    15. Edgar Silgado‐Gómez, 2024. "Sovereign Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(4), pages 1985-2018, November.
    16. Lee A. Smales, 2021. "Policy uncertainty in Australian financial markets," Australian Journal of Management, Australian School of Business, vol. 46(3), pages 523-547, August.
    17. Ibrahim D. Raheem & Simplice A. Asongu & Sara le Roux, 2019. "The Role of Asymmetry and Uncertainties in the Capital Flows- Economic Growth Nexus," CEREDEC Working Papers 19/047, Centre de Recherche pour le Développement Economique (CEREDEC).
    18. Li, Rong & Li, Sufang & Yuan, Di & Chen, Hong & Xiang, Shilei, 2023. "Spillover effect of economic policy uncertainty on the stock market in the post-epidemic era," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    19. Christina Christou & David Gabauer & Rangan Gupta, 2019. "Time-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the United Kingdom: Evidence from Over 150 Years of Monthly Data," Working Papers 201962, University of Pretoria, Department of Economics.
    20. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    21. Carlos Cañizares Martínez & Arne Gieseck, 2025. "The effects of macro uncertainty shocks in the euro area: a FAVAR approach," Empirical Economics, Springer, vol. 68(6), pages 2829-2872, June.
    22. Efrem Castelnuovo & Guay Lim & Giovanni Pellegrino, 2018. "Macroeconomic Policies in a Low Interest Rate Environment: Back to Keynes?," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(1), pages 70-86, March.
    23. Burrel, Hamish & Vespignani, Joaquin L., 2020. "Industrial Impact of Economic Uncertainty Shocks in Australia: Revised," MPRA Paper 104117, University Library of Munich, Germany.
    24. Ozili, Peterson Kitakogelu, 2021. "Economic policy uncertainty in banking: a literature review," MPRA Paper 108017, University Library of Munich, Germany.
    25. Silgado-Gómez, Edgar, 2022. "Sovereign Uncertainty," Research Technical Papers 10/RT/22, Central Bank of Ireland.
    26. Rehman, Mobeen Ur & Sensoy, Ahmet & Eraslan, Veysel & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2021. "Sensitivity of US equity returns to economic policy uncertainty and investor sentiments," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    27. Efrem Castelnuovo & Guay C. Lim, 2018. "What Do We Know about the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers," CESifo Working Paper Series 7366, CESifo.
    28. Punzi, Maria Teresa, 2020. "The impact of uncertainty on the macro-financial linkage with international financial exposure," Journal of Economics and Business, Elsevier, vol. 110(C).
    29. Gabauer, David & Dang, Tam Hoang Nhat & Nguyen, Canh Phuc, 2025. "The lead–lag relationship of US fiscal policy uncertainty: New evidence from R2 decomposed connectedness measures," Finance Research Letters, Elsevier, vol. 86(PF).
    30. Jamie L. Cross & Chenghan Hou & Gary Koop, 2021. "Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs," Working Papers No 04/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    31. Benjamin Baker & Murat Üngör, 2025. "Effects of Quantitative Easing on Economic Sentiment: Evidence from Three Large Economies," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 67(1), pages 50-83, March.
    32. Nakajima, Jouchi, 2022. "Macroeconomic uncertainty matters: A nonlinear effect of financial volatility on real economic activity," Discussion paper series HIAS-E-121, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    33. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning," Working Papers 202111, University of Pretoria, Department of Economics.
    34. Ayodele Folorunso Oshodi & Godwin Olasehinde-Williams, 2025. "US Trade Policy Uncertainty and Nigeria’s Participation in Global Value Chains: Evidence from Frequency Domain Causality, Wavelet Coherence Analysis, and Time-Varying Causality," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 16(1), pages 189-214, March.
    35. Bouteska, Ahmed & Sharif, Taimur & Hajek, Petr & Abedin, Mohammad Zoynul, 2025. "Predicting prices of the US and G7 stock indices in uncertain times: Evidence from the application of a hybrid neural network," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 116(C).
    36. Antonakakis, Nikolaos & Gabauer, David & Gupta, Rangan, 2019. "Greek economic policy uncertainty: Does it matter for Europe? Evidence from a dynamic connectedness decomposition approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    37. Eiji Ogawa & Pengfei Luo, 2024. "Macroeconomic effects of global policy and financial risks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 177-205, January.
    38. Jacek Lewkowicz & Michał Woźniak & Michał Wrzesiński, 2021. "Institutional Framework of Central Bank Independence: Revisited," Working Papers 2021-06, Faculty of Economic Sciences, University of Warsaw.
    39. Matthew W. Clance & Giray Gozgor & Rangan Gupta & Chi Keung Marco Lau, 2019. "The Relationship between Economic Uncertainty and Corporate Tax Rates," Working Papers 201945, University of Pretoria, Department of Economics.
    40. Michael Ryan, 2020. "An Anchor in Stormy Seas: Does Reforming Economic Institutions Reduce Uncertainty? Evidence from New Zealand," Working Papers in Economics 20/11, University of Waikato.
    41. Dibiasi, Andreas & Abberger, Klaus & Siegenthaler, Michael & Sturm, Jan-Egbert, 2018. "The effects of policy uncertainty on investment: Evidence from the unexpected acceptance of a far-reaching referendum in Switzerland," European Economic Review, Elsevier, vol. 104(C), pages 38-67.
    42. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2022. "Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1049-1064, September.
    43. Clougherty, Joseph A. & Zhang, Nan, 2023. "Antitrust policy and inward FDI: The impact of policy risk and uncertainty on U.S. inward-FDI flows," International Business Review, Elsevier, vol. 32(4).
    44. Wataru SOUMA & Carolina Magda ROMA & Hiromitsu GOTO & Hiroshi IYETOMI & Irena VODENSKA, 2022. "Complex Global Interdependencies between Economic Policy Uncertainty and Geopolitical Risks Indices," Discussion papers 22028, Research Institute of Economy, Trade and Industry (RIETI).
    45. Gabauer, David & Gupta, Rangan, 2018. "On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach," Economics Letters, Elsevier, vol. 171(C), pages 63-71.
    46. Das, Debojyoti & Kannadhasan, M. & Bhattacharyya, Malay, 2019. "Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 1-19.
    47. Marcela De Castro-Valderrama & Santiago Forero-Alvarado & Nicolas Moreno-Arias & Sara Naranjo-Saldarriaga, 2022. "Unravelling the Narratives Behind Macroeconomic Forecasts," IHEID Working Papers 18-2022, Economics Section, The Graduate Institute of International Studies.
    48. Corinna Ghirelli & María Gil & Javier J. Pérez & Alberto Urtasun, 2021. "Measuring economic and economic policy uncertainty and their macroeconomic effects: the case of Spain," Empirical Economics, Springer, vol. 60(2), pages 869-892, February.
    49. Rangan Gupta & Godwin Olasehinde-Williams & Mark E. Wohar, 2018. "The Impact of US Uncertainty Shocks on a Panel of Advanced and Emerging Market Economies: The Role of Exchange Rate, Trade and Financial Channels," Working Papers 201857, University of Pretoria, Department of Economics.
    50. Whelsy Boungou & Alhonita Yatié, 2024. "Uncertainty, stock and commodity prices during the Ukraine-Russia war ," Post-Print hal-04746052, HAL.

  25. Efrem Castelnuovo & Guay Lim & Tim Robinson, 2016. "Introduction to the Policy Forum: Macroeconomic Consequences of Macroprudential Policies," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 49(1), pages 77-82, March.

    Cited by:

    1. Anindya Sen & Dennis Wesselbaum, 2023. "On the International Spillover Effects of Uncertainty," Open Economies Review, Springer, vol. 34(3), pages 541-554, July.
    2. Efrem Castelnuovo & Guay Lim & Giovanni Pellegrino, 2018. "Macroeconomic Policies in a Low Interest Rate Environment: Back to Keynes?," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(1), pages 70-86, March.

  26. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.

    Cited by:

    1. Herwartz, Helmut & Lange, Alexander & Maxand, Simone, 2019. "Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle," University of Göttingen Working Papers in Economics 375, University of Goettingen, Department of Economics.
    2. Giakas, Konstantinos, 2026. "A model of euro area unemployment persistence and central bank stabilization policies," Research in Economics, Elsevier, vol. 80(2).
    3. Helmut Herwartz & Alexander Lange & Simone Maxand, 2022. "Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 668-693, April.
    4. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
    5. Pellegrino, Giovanni, 2018. "Uncertainty and the real effects of monetary policy shocks in the Euro area," Economics Letters, Elsevier, vol. 162(C), pages 177-181.
    6. SYED, Sarfaraz Ali Shah, 2021. "Heterogeneous consumers in the Euro-Area, facing homogeneous monetary policy: Tale of two large economies," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).

  27. Castelnuovo, Efrem, 2016. "Modest macroeconomic effects of monetary policy shocks during the great moderation: An alternative interpretation," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 300-314.
    See citations under working paper version above.
  28. Efrem Castelnuovo & Luca Fanelli, 2015. "Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from A Robust Test," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(6), pages 924-947, September.
    See citations under working paper version above.
  29. Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2015. "Estimating Fiscal Multipliers: News From A Non‐linear World," Economic Journal, Royal Economic Society, vol. 0(584), pages 746-776, May.
    See citations under working paper version above.
  30. Castelnuovo, Efrem & Greco, Luciano & Raggi, Davide, 2014. "Policy Rules, Regime Switches, And Trend Inflation: An Empirical Investigation For The United States," Macroeconomic Dynamics, Cambridge University Press, vol. 18(4), pages 920-942, June.

    Cited by:

    1. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.
    2. Qazi Haque, 2022. "Monetary Policy, Inflation Target, and the Great Moderation: An Empirical Investigation," International Journal of Central Banking, International Journal of Central Banking, vol. 18(4), pages 1-52, October.
    3. Diegel, Max, 2022. "Time-varying credibility, anchoring and the Fed's inflation target," Discussion Papers 2022/9, Free University Berlin, School of Business & Economics.
    4. Luis Uzeda, 2018. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," Staff Working Papers 18-14, Bank of Canada.
    5. Zamarripa, Rene, 2021. "Estimating the Bank of Mexico’s reaction function in the last three decades: A Bayesian DSGE approach with rolling-windows," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    6. Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," Adelaide Economics Working Papers 2017-10, Adelaide University, School of Economics.
    7. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Melbourne Institute Working Paper Series wp2019n05, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    8. Roberto Casarin & Antonio Peruzzi & Davide Raggi, 2025. "Multiple Equilibria and the Phillips Curve: Do Agents Always Underreact?," Working Papers 2025: 10, Department of Economics, University of Venice "Ca' Foscari".
    9. Guido Ascari & Paolo Bonomolo Hedibert F. Lopes, 2016. "Rational Sunspots," Economics Series Working Papers 787, University of Oxford, Department of Economics.
    10. De Lipsis Vincenzo, 2021. "Dating Structural Changes in UK Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(2), pages 509-539, June.

  31. Caggiano, Giovanni & Castelnuovo, Efrem & Groshenny, Nicolas, 2014. "Uncertainty shocks and unemployment dynamics in U.S. recessions," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 78-92.
    See citations under working paper version above.
  32. Castelnuovo, Efrem, 2013. "Monetary policy shocks and financial conditions: A Monte Carlo experiment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 282-303.

    Cited by:

    1. Klodiana Istrefi & B. Vonnak, 2015. "Delayed Overshooting Puzzle in Structural Vector Autoregression Models," Working papers 576, Banque de France.
    2. Herwartz, Helmut & Lange, Alexander & Maxand, Simone, 2019. "Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle," University of Göttingen Working Papers in Economics 375, University of Goettingen, Department of Economics.
    3. Markku Lanne & Mika Meitz & Pentti Saikkonen, 2015. "Identification and estimation of non-Gaussian structural vector autoregressions," CREATES Research Papers 2015-16, Department of Economics and Business Economics, Aarhus University.
    4. Gary Koop & Dimitris Korobilis, 2013. "A new index of financial conditions," Working Papers 1307, University of Strathclyde Business School, Department of Economics.
    5. Helmut Herwartz & Alexander Lange & Simone Maxand, 2022. "Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 668-693, April.
    6. Bernd Funovits & Alexander Braumann, 2021. "Identifiability of structural singular vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 431-441, July.
    7. Helmut Herwartz & Martin Plödt, 2016. "Simulation Evidence on Theory-based and Statistical Identification under Volatility Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(1), pages 94-112, February.
    8. Shesadri Banerjee & Jayanthi K. Anand & Shashanka Bhide, 2021. "Estimation of Macro-financial Linkages for the Indian Economy," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 20(1), pages 7-47, April.
    9. Aslam, Faheem & Hunjra, Ahmed Imran & Memon, Bilal Ahmed & Zhang, Mingda, 2024. "Interplay of multifractal dynamics between shadow policy rates and energy markets," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    10. Eurilton Araújo, 2016. "Monetary Policy Credibility and the Comovement between Stock Returns and Inflation," Working Papers Series 449, Central Bank of Brazil, Research Department.
    11. Koong, Seow Shin & Law, Siong Hook & Ibrahim, Mansor H., 2017. "Credit expansion and financial stability in Malaysia," Economic Modelling, Elsevier, vol. 61(C), pages 339-350.
    12. Verona, Fabio & Martins, Manuel M.F. & Drumond, Inês, 2017. "Financial shocks, financial stability, and optimal Taylor rules," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 187-207.

  33. Efrem Castelnuovo, 2013. "What does a Monetary Policy Shock Do? An International Analysis with Multiple Filters," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 759-784, October.
    See citations under working paper version above.
  34. Efrem Castelnuovo, 2012. "Testing the Structural Interpretation of the Price Puzzle with a Cost-Channel Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(3), pages 425-452, June.
    See citations under working paper version above.
  35. Efrem Castelnuovo, 2012. "Estimating the Evolution of Money’s Role in the U.S. Monetary Business Cycle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 23-52, February.
    See citations under working paper version above.
  36. Castelnuovo, Efrem, 2012. "Policy Switch And The Great Moderation: The Role Of Equilibrium Selection," Macroeconomic Dynamics, Cambridge University Press, vol. 16(3), pages 449-471, June.

    Cited by:

    1. Best, Gabriela & Hur, Joonyoung, 2019. "Bad luck, bad policy, and learning? A Markov-switching approach to understanding postwar U.S. macroeconomic dynamics," European Economic Review, Elsevier, vol. 119(C), pages 55-78.
    2. Kirsanova, Tatiana & Leith, Campbell & Chen, Xiaoshan, 2013. "How Optimal is US Monetary Policy?," SIRE Discussion Papers 2013-53, Scottish Institute for Research in Economics (SIRE).
    3. Castelnuovo, Efrem, 2010. "Trend inflation and macroeconomic volatilities in the post-WWII U.S. economy," The North American Journal of Economics and Finance, Elsevier, vol. 21(1), pages 19-33, March.
    4. Hahn, Volker, 2014. "Transparency In Monetary Policy, Signaling, And Heterogeneous Information," Macroeconomic Dynamics, Cambridge University Press, vol. 18(2), pages 369-394, March.
    5. Castelnuovo, Efrem, 2016. "Modest macroeconomic effects of monetary policy shocks during the great moderation: An alternative interpretation," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 300-314.
    6. Castelnuovo, Efrem, 2013. "Monetary policy shocks and financial conditions: A Monte Carlo experiment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 282-303.

  37. Ascari, Guido & Castelnuovo, Efrem & Rossi, Lorenza, 2011. "Calvo vs. Rotemberg in a trend inflation world: An empirical investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1852-1867.
    See citations under working paper version above.
  38. Caggiano, Giovanni & Castelnuovo, Efrem, 2011. "On the dynamics of international inflation," Economics Letters, Elsevier, vol. 112(2), pages 189-191, August.

    Cited by:

    1. Rangan Gupta & Chi Keung Marco Lau & Mark E. Wohar, 2016. "The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model," Working Papers 201681, University of Pretoria, Department of Economics.
    2. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2014. "Uncertainty and Monetary Policy in Good and Bad Times," "Marco Fanno" Working Papers 0188, Dipartimento di Scienze Economiche "Marco Fanno".
    3. Efrem Castelnuovo, 2013. "What does a Monetary Policy Shock Do? An International Analysis with Multiple Filters," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 759-784, October.
    4. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
    5. Fredrik N. G. Andersson & Yushu Li, 2020. "Are Central Bankers Inflation Nutters? An MCMC Estimator of the Long-Memory Parameter in a State Space Model," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 529-549, February.

  39. Castelnuovo, Efrem, 2010. "Tracking U.S. inflation expectations with domestic and global indicators," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1340-1356, November.
    See citations under working paper version above.
  40. Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in a DSGE model for the U.S," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1700-1731, September.
    See citations under working paper version above.
  41. Castelnuovo, Efrem, 2010. "Trend inflation and macroeconomic volatilities in the post-WWII U.S. economy," The North American Journal of Economics and Finance, Elsevier, vol. 21(1), pages 19-33, March.

    Cited by:

    1. Sacht, Stephen & Jang, Tae-Seok, 2012. "Identification of Animal Spirits in a Bounded Rationality Model: An Application to the Euro Area," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62071, Verein für Socialpolitik / German Economic Association.
    2. Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2015. "Moment matching versus Bayesian estimation: Backward-looking behaviour in a New-Keynesian baseline model," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 126-154.
    3. Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2011. "Moment matching versus Bayesian estimation: Backward-looking behaviour in the new-Keynesian three-equations model," Economics Working Papers 2011-10, Christian-Albrechts-University of Kiel, Department of Economics.
    4. Zamarripa, Rene, 2021. "Estimating the Bank of Mexico’s reaction function in the last three decades: A Bayesian DSGE approach with rolling-windows," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    5. Tae-Seok Jang, 2012. "Structural Estimation of the New-Keynesian Model: A Formal Test of Backward- and Forward-Looking Behavior," Advances in Econometrics, in: DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments, pages 421-467, Emerald Group Publishing Limited.
    6. Hamid Beladi & Avik Chakrabarti & Sugata Marjit, 2013. "Privatization and Strategic Mergers across Borders," Review of International Economics, Wiley Blackwell, vol. 21(3), pages 432-446, August.
    7. Di Bartolomeo, Giovanni & Giuli, Francesco, 2011. "Fiscal and monetary interaction under monetary policy uncertainty," European Journal of Political Economy, Elsevier, vol. 27(2), pages 369-375, June.
    8. Qazi Haque, 2019. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," Economics Discussion / Working Papers 19-10, The University of Western Australia, Department of Economics.
    9. Hsu, Jason C., 2012. "What drives equity market non-participation?," The North American Journal of Economics and Finance, Elsevier, vol. 23(1), pages 86-114.
    10. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 39669, University Library of Munich, Germany.
    11. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 40278, University Library of Munich, Germany.
    12. Tae-Seok Jang & Stephen Sacht, 2016. "Animal Spirits and the Business Cycle: Empirical Evidence from Moment Matching," Metroeconomica, Wiley Blackwell, vol. 67(1), pages 76-113, February.
    13. Okimoto, Tatsuyoshi, 2019. "Trend inflation and monetary policy regimes in Japan," Journal of International Money and Finance, Elsevier, vol. 92(C), pages 137-152.
    14. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian model: A formal test of backward- and forward-looking behavior," Economics Working Papers 2012-07, Christian-Albrechts-University of Kiel, Department of Economics.

  42. Efrem Castelnuovo & Paolo Surico, 2010. "Monetary Policy, Inflation Expectations and The Price Puzzle," Economic Journal, Royal Economic Society, vol. 120(549), pages 1262-1283, December.
    See citations under working paper version above.
  43. Castelnuovo, Efrem, 2008. "Regime shifts and the stability of backward-looking Phillips curves in open economies," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 40-53, February.
    See citations under working paper version above.
  44. Efrem Castelnuovo, 2007. "Taylor Rules And Interest Rate Smoothing In The Euro Area," Manchester School, University of Manchester, vol. 75(1), pages 1-16, January.

    Cited by:

    1. Imran Hussain Shah & Simón Sosvilla-Rivero, 2017. "Seeking price and macroeconomic stabilisation in the euro area: The role of house prices and stock prices," IREA Working Papers 201710, University of Barcelona, Research Institute of Applied Economics, revised May 2017.
    2. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.
    3. Consolo, Agostino & Favero, Carlo A., 2009. "Monetary policy inertia: More a fiction than a fact?," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 900-906, September.
    4. Imran H. Shah & Simón Sosvilla‐Rivero, 2021. "Incorporating asset price stability in the European Central Bank's inflation targeting framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2022-2043, April.
    5. Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2013. "Inference on Structural Breaks using Information Criteria," Manchester School, University of Manchester, vol. 81, pages 54-81, October.
    6. Jan-Egbert Sturm & Timo Wollmershäuser, 2008. "The Stress of Having a Single Monetary Policy in Europe," KOF Working papers 08-190, KOF Swiss Economic Institute, ETH Zurich.
    7. Moons, Cindy & Hellinckx, Kevin, 2019. "Did monetary policy fuel the housing bubble? An application to Ireland," Journal of Policy Modeling, Elsevier, vol. 41(2), pages 294-315.
    8. Parhizgari, A.M. & Pavlova, I., 2007. "Post-euro EU and US interest rates and foreign exchange rates: Are they in harmony or in disarray," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(5), pages 616-636, December.
    9. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," CESifo Working Paper Series 7900, CESifo.
    10. Donato Masciandaro, 2023. "How Elastic and Predictable Money Should Be: Flexible Monetary Policy Rules from the Great Moderation to the New Normal Times (1993-2023)," BAFFI CAREFIN Working Papers 23196, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    11. Pawel Gajewski, 2014. "Monetary policy stress in EMU during the moderation and the global crisis," Lodz Economics Working Papers 2/2014, University of Lodz, Faculty of Economics and Sociology.
    12. Ignacy Święcicki & Jan J. Michałek, 2014. "Sources of difficulties in coordination of monetary and fiscal policies in the European Economic and Monetary Union," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 39.
    13. Glenn D. Rudebusch, 2006. "Monetary Policy Inertia: Fact or Fiction?," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December.
    14. Andrew Hughes Hallett & John Lewis, 2015. "Monetary policy and sovereign debt: Does the ECB take the eurozone’s fiscal risks into account?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 499-520, August.
    15. Nicolas Pinkwart, 2013. "Quantifying The European Central Bank'S Interest Rate Smoothing Behavior," Manchester School, University of Manchester, vol. 81(4), pages 470-492, July.
    16. Rageh, Rania, 2010. "Interest rate rule for the conduct of monetary policy: analysis for Egypt (1997:2007)," MPRA Paper 26639, University Library of Munich, Germany.
    17. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    18. Kobayashi Teruyoshi, 2010. "Policy Irreversibility and Interest Rate Smoothing," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-29, October.
    19. Camilla Lupiani, 2024. "Taylor Rule and Shadow Rates: theory and empirical analysis," BAFFI CAREFIN Working Papers 24218, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    20. Imran H. Shah & Ian Corrick & Abdul Saboor, 2018. "How should Central Banks Respond to Non-neutral Inflation Expectations?," Open Economies Review, Springer, vol. 29(2), pages 321-351, April.
    21. Paweł Baranowski, 2008. "Reguła Taylora i jej rozszerzenia," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 7-8, pages 1-23.
    22. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Melbourne Institute Working Paper Series wp2019n05, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    23. van Holle, Frederiek, 2017. "Essays in empirical finance and monetary policy," Other publications TiSEM 30d11a4b-7bc9-4c81-ad24-5, Tilburg University, School of Economics and Management.
    24. Stefan Gerlach & John Lewis, 2014. "ECB Reaction Functions and the Crisis of 2008," International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 137-158, March.
    25. Ida, Daisuke, 2011. "Monetary policy and asset prices in an open economy," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 102-117, August.
    26. Kerry B. Hudson & Joaquin L. Vespignani, 2014. "Understanding the Deviations of the Taylor Rule: A New Methodology with an Application to Australia," CAMA Working Papers 2014-78, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    27. Jérôme Coffinet & Céline Poilly, 2009. "Une évaluation structurelle du ratio de sacrifice dans la zone euro," Revue d'économie politique, Dalloz, vol. 119(2), pages 273-299.
    28. Jung, Alexander, 2016. "Have monetary data releases helped markets to predict the interest rate decisions of the European Central Bank?," Working Paper Series 1926, European Central Bank.
    29. Alexander Jung, 2018. "Have money and credit data releases helped markets to predict the interest rate decisions of the European Central Bank?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 65(1), pages 39-67, February.
    30. Christian Aubin & Ibrahima Diouf & Dominique Pepin, 2010. "Inertie De La Politique Monétaire Dans La Zone Euro : Le Rôle De L'Hétérogénéité," Post-Print hal-00960030, HAL.
    31. Troy Davig & Jeffrey R. Gerlach, 2006. "State-Dependent Stock Market Reactions to Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December.
    32. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
    33. Aymeric Ortmans, 2020. "Evolving Monetary Policy in the Aftermath of the Great Recession," Documents de recherche 20-01, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    34. Baranowski, Paweł, . "Reguła Taylora i jej rozszerzenia," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2008(7-8).
    35. Mahmut Sami Güngör & Bülent Güloğlu, 2019. "The Effects of Structural Shocks on Macroeconomic Fundamentals under Aggressive Monetary Policy: The Case of Turkey," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 12(2), pages 7-21, December.
    36. Feve, Patrick & Matheron, Julien & Poilly, Celine, 2007. "Monetary policy dynamics in the Euro area," Economics Letters, Elsevier, vol. 96(1), pages 97-102, July.
    37. Botzen, W.J. Wouter & Marey, Philip S., 2010. "Did the ECB respond to the stock market before the crisis?," Journal of Policy Modeling, Elsevier, vol. 32(3), pages 303-322, May.
    38. Giulia Rivolta, 2018. "Potential ECB reaction functions with time-varying parameters: an assessment," Empirical Economics, Springer, vol. 55(4), pages 1425-1473, December.
    39. Hudson, Kerry & Vespignani, Joaquin L., 2015. "Understanding the Taylor Rule in Australia," MPRA Paper 104679, University Library of Munich, Germany.
    40. Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," Melbourne Institute Working Paper Series wp2019n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    41. Renato Faccini & Stephen Millard & Francesco Zanetti, 2013. "Wage Rigidities in an Estimated Dynamic, Stochastic, General Equilibrium Model of the UK Labour Market," Manchester School, University of Manchester, vol. 81, pages 66-99, September.
    42. Fabio Milani, 2008. "Monetary Policy With A Wider Information Set: A Bayesian Model Averaging Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(1), pages 1-30, February.
    43. Donato Masciandaro, 2026. "Monetary Policy and Taylor Reaction Functions: Business Cycles, Central Bank Governance and Central Bankers’ Preferences," BAFFI CAREFIN Working Papers 26270, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    44. Lars Calmfors & Giancarlo Corsetti & Michael P. Devereux & Gilles Saint-Paul & Hans-Werner Sinn & Jan-Egbert Sturm & Xavier Vives, 2008. "Chapter 1: The European Economy: Macroeconomic Outlook and Policy," EEAG Report on the European Economy, CESifo, vol. 0, pages 13-60, February.

  45. Castelnuovo Efrem, 2006. "The Fed's Preference for Policy Rate Smoothing: Overestimation Due to Misspecification?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(2), pages 1-22, August.

    Cited by:

    1. Dalibor Roháč, 2012. "On economists and garbagemen: Reflections on Šťastný (2010)," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 25(2), pages 173-183, June.
    2. Gregory E. Givens, 2012. "Estimating Central Bank Preferences under Commitment and Discretion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1033-1061, September.
    3. Chatelain, Jean-Bernard & Ralf, Kirsten, 2017. "Can we Identify the Fed's Preferences?," EconStor Preprints 149993, ZBW - Leibniz Information Centre for Economics, revised 2017.
    4. Flamini, Alessandro & Fracasso, Andrea, 2011. "Household's preferences and monetary policy inertia," Economics Letters, Elsevier, vol. 111(1), pages 64-67, April.
    5. Pelin Ilbas & Øistein Røisland & Tommy Sveen, 2013. "The influence of the Taylor rule on US monetary policy," Working Paper 2013/04, Norges Bank.
    6. Aymeric Ortmans, 2020. "Evolving Monetary Policy in the Aftermath of the Great Recession," Documents de recherche 20-01, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    7. Liu, Ding & Zhang, Yue & Sun, Weihong, 2020. "Commitment or discretion? An empirical investigation of monetary policy preferences in China," Economic Modelling, Elsevier, vol. 85(C), pages 409-419.
    8. Fabio Milani, 2008. "Monetary Policy With A Wider Information Set: A Bayesian Model Averaging Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(1), pages 1-30, February.
    9. Lakdawala, Aeimit, 2016. "Changes in Federal Reserve preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 124-143.

  46. Castelnuovo, Efrem & Galeotti, Marzio & Gambarelli, Gretel & Vergalli, Sergio, 2005. "Learning-by-Doing vs. Learning by Researching in a model of climate change policy analysis," Ecological Economics, Elsevier, vol. 54(2-3), pages 261-276, August.
    See citations under working paper version above.
  47. Efrem Castelnuovo & Paolo Surico, 2004. "Model Uncertainty, Optimal Monetary Policy and the Preferences of the Fed," Scottish Journal of Political Economy, Scottish Economic Society, vol. 51(1), pages 105-126, February.

    Cited by:

    1. Richard Dennis, 2005. "Specifying and Estimating New Keynesian Models with Instrument Rules and Optimal Monetary Policies," Working Paper Series 2004-17, Federal Reserve Bank of San Francisco.
    2. Efrem Castelnuovo, 2004. "Describing the Fed's conduct with simple Taylor rules: is interest rate smoothing important?," Money Macro and Finance (MMF) Research Group Conference 2003 12, Money Macro and Finance Research Group.
    3. Timothy Kim & Kirdan Lees & Philip Liu, 2006. "Uncovering the Hit-list for Small Inflation Targeters: A Bayesian Structural Analysis," Reserve Bank of New Zealand Discussion Paper Series DP2006/09, Reserve Bank of New Zealand.
    4. Sánchez, Marcelo, 2010. "What does South Korean inflation targeting target?," Journal of Asian Economics, Elsevier, vol. 21(6), pages 526-539, December.
    5. Juan Paez-Farrell, 2015. "Taylor rules, central bank preferences and inflation targeting," Working Papers 2015023, The University of Sheffield, Department of Economics.
    6. Masciandaro, Donato, 2022. "Independence, conservatism, and beyond: Monetary policy, central bank governance and central banker preferences (1981–2021)," Journal of International Money and Finance, Elsevier, vol. 122(C).
    7. Assenmacher-Wesche, Katrin, 2006. "Estimating Central Banks' preferences from a time-varying empirical reaction function," European Economic Review, Elsevier, vol. 50(8), pages 1951-1974, November.
    8. Aragón, Edilean Kleber da Silva Bejarano & Portugal, Marcelo Savino, 2009. "Central Bank preferences and monetary rules under the inflation targeting regime in Brasil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
    9. McKnight, Stephen & Mihailov, Alexander & Pompa Rangel, Antonio, 2020. "What do Latin American inflation targeters care about? A comparative Bayesian estimation of central bank preferences," Journal of Macroeconomics, Elsevier, vol. 63(C).
    10. Richard Dennis, 2001. "The Policy Preferences of the U.S. Federal Reserve," Working Paper Series 2001-08, Federal Reserve Bank of San Francisco.
    11. Chatelain, Jean-Bernard & Ralf, Kirsten, 2017. "Can we Identify the Fed's Preferences?," MPRA Paper 76831, University Library of Munich, Germany.
    12. Efrem Castelnuovo, 2003. "Taylor Rules and Interest Rate Smoothing in the US and EMU," Macroeconomics 0303002, University Library of Munich, Germany.
    13. Fabio Verona & Manuel M. F. Martins & Inês Drumond, 2014. "Financial Shocks and Optimal Monetary Policy Rules," CEF.UP Working Papers 1402, Universidade do Porto, Faculdade de Economia do Porto.
    14. Stefan Krause & Fabio Méndez, 2005. "Policy Makers' Preferences, Party Ideology, and the Political Business Cycle," Southern Economic Journal, John Wiley & Sons, vol. 71(4), pages 752-767, April.
    15. Gregory E. Givens, 2012. "Estimating Central Bank Preferences under Commitment and Discretion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1033-1061, September.
    16. Castelnuovo, Efrem, 2003. "Describing the Fed's conduct with Taylor rules: is interest rate smoothing important?," Working Paper Series 232, European Central Bank.
    17. Chauvet, Marcelle & Tierney, Heather L. R., 2007. "Real Time Changes in Monetary Policy," MPRA Paper 16199, University Library of Munich, Germany, revised Apr 2009.
    18. Kobayashi Teruyoshi, 2010. "Policy Irreversibility and Interest Rate Smoothing," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-29, October.
    19. D. Masciandaro, 2019. "What Bird Is That? Central Banking And Monetary Policy In The Last Forty Years," BAFFI CAREFIN Working Papers 19127, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    20. Fiodendji, Komlan, 2011. "Should Canadian Monetary Policy Respond to Asset Prices? Evidence from a Structural Model," MPRA Paper 27942, University Library of Munich, Germany.
    21. FIodendji, Komlan, 2011. "Should Canadian monetary policy respond to asset prices? Evidence from a structural model," MPRA Paper 28039, University Library of Munich, Germany, revised 10 Jan 2011.
    22. Di Bartolomeo, Giovanni & Giuli, Francesco, 2011. "Fiscal and monetary interaction under monetary policy uncertainty," European Journal of Political Economy, Elsevier, vol. 27(2), pages 369-375, June.
    23. Grégory Levieuge & Yannick Lucotte, 2014. "A Simple Empirical Measure of Central Banks' Conservatism," Southern Economic Journal, John Wiley & Sons, vol. 81(2), pages 409-434, October.
    24. Edilean Kleber da Silva & Marcelo Savino Portugal, 2010. "Central Bank Preferences And Monetary Rules Under The Inflation Targeting Regime In Brazil," Working Papers 07-2010, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto.
    25. Maciej Ryczkowski, 2016. "Poland as an inflation nutter:The story of successful output stabilization," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 34(2), pages 363-392.
    26. Cabrera, Nilda & Bejarano, Edilean & Savino Portugal, Marcelo, 2011. "Preferences of the Central Reserve Bank of Peru and optimal monetary policy rules in the inflation targeting regime," Working Papers 2011-010, Banco Central de Reserva del Perú.
    27. Efrem Castelnuovo, 2002. "Squeezing the Interest Rate Smoothing Weight with a Hybrid Expectations Model," Macroeconomics 0211006, University Library of Munich, Germany.
    28. Sánchez, Marcelo, 2009. "Characterising the inflation targeting regime in South Korea," Working Paper Series 1004, European Central Bank.
    29. Aymeric Ortmans, 2020. "Evolving Monetary Policy in the Aftermath of the Great Recession," Documents de recherche 20-01, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    30. Grégory LEVIEUGE & Yannick LUCOTTE, 2012. "A Simple Empirical Measure of Central Bank' Conservatism," LEO Working Papers / DR LEO 2258, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    31. Castelnuovo Efrem, 2006. "The Fed's Preference for Policy Rate Smoothing: Overestimation Due to Misspecification?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(2), pages 1-22, August.
    32. Verona, Fabio & Martins, Manuel M.F. & Drumond, Inês, 2017. "Financial shocks, financial stability, and optimal Taylor rules," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 187-207.
    33. Fabio Milani, 2008. "Monetary Policy With A Wider Information Set: A Bayesian Model Averaging Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(1), pages 1-30, February.
    34. Lakdawala, Aeimit, 2016. "Changes in Federal Reserve preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 124-143.
    35. Donato Masciandaro, 2026. "Monetary Policy and Taylor Reaction Functions: Business Cycles, Central Bank Governance and Central Bankers’ Preferences," BAFFI CAREFIN Working Papers 26270, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

  48. Castelnuovo, Efrem, 2003. "Taylor rules, omitted variables, and interest rate smoothing in the US," Economics Letters, Elsevier, vol. 81(1), pages 55-59, October.
    See citations under working paper version above.
  49. Paolo Buonanno & Carlo Carraro & Efrem Castelnuovo & Marzio Galeotti, 2001. "Emission Trading Restrictions with Endogenous Technological Change," International Environmental Agreements: Politics, Law and Economics, Springer, vol. 1(3), pages 379-395, July.
    See citations under working paper version above.

Chapters

  1. Efrem Castelnuovo & Kerem Tuzcuoglu & Luis Uzeda, 2024. "Sectoral uncertainty," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Granular data: new horizons and challenges, volume 61, Bank for International Settlements.
    See citations under working paper version above.
  2. Efrem Castelnuovo, 2012. "Fitting U.S. Trend Inflation: A Rolling-Window Approach," Advances in Econometrics, in: DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments, pages 201-252, Emerald Group Publishing Limited.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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