Uncertainty shocks and unemployment dynamics in U.S. recessions

• 成果类型: Article
• 署名作者: Caggiano, Giovanni; Castelnuovo, Efrem; Groshenny, Nicolas
• 署名单位: University of Padua; University of Melbourne; Bank of Finland; University of Adelaide
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.07.006
• 发表日期: 2014
• 页码: 78-92
• 关键词: Uncertainty shocks; Unemployment dynamics; Smooth Transition Vector AutoRegressions; recessions

摘要

What are the effects of uncertainty shocks on unemployment dynamics? We answer this question by estimating non-linear (Smooth-Transition) VARs with post-WWII U.S. data. The relevance of uncertainty shocks is found to be much larger than that predicted by standard linear VARs in terms of (i) magnitude of the reaction of the unemployment rate to such shocks, and (ii) contribution to the variance of the prediction errors of unemployment at business cycle frequencies. The ability of different classes of DSGE models to replicate our results is discussed. (C) 2014 Elsevier B.V. All rights reserved.