UNCERTAINTY AND MONETARY POLICY DURING THE GREAT RECESSION

• 成果类型: Article
• 署名作者: Pellegrino, Giovanni; Castelnuovo, Efrem; Caggiano, Giovanni
• 署名单位: Aarhus University; University of Padua; Monash University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12607
• 发表日期: 2023
• 页码: 577-606
• 关键词: income tax changes; risk-aversion; vector autoregressions; macroeconomic impact; sign restrictions; labor margin; shocks; volatility; MODEL; error

摘要

We employ a nonlinear proxy-VAR approach to document the large response of real activity to a financial uncertainty shock during and in the aftermath of the Great Recession. We replicate this evidence with an estimated DSGE framework that we employ to quantify the output loss due to the large uncertainty shock that materialized in 2008Q4. We find such a shock to be able to explain about 60% of the output loss in the 2008-2014 period. Our model also points to the powerful role played by the Federal Reserve's systematic monetary policy in limiting the loss of output during the Great Recession.