RDP 2017-06: Uncertainty and Monetary Policy in Good and Bad Times References

Aastveit KA, GJ Natvik and S Sola (2013), ‘Economic Uncertainty and the Effectiveness of Monetary Policy’, Norges Bank Working Paper No 2013|17.

Abadir KM, G Caggiano and G Talmain (2013), ‘Nelson–Plosser Revisited: The ACF Approach’, Journal of Econometrics, 175(1), pp 22–34.

Alessandri P and H Mumtaz (2014), ‘Financial Regimes and Uncertainty Shocks’, Queen Mary University of London, School of Economics and Finance Working Paper No 729.

Auerbach A and Y Gorodnichenko (2012), ‘Measuring the Output Responses to Fiscal Policy’, American Economic Journal: Economic Policy, 4(2), pp 1–27.

Bachmann R, S Elstner and ER Sims (2013), ‘Uncertainty and Economic Activity: Evidence from Business Survey Data’, American Economic Journal: Macroeconomics, 5(2), pp 217–249.

Bachmann R and ER Sims (2012), ‘Confidence and the Transmission of Government Spending Shocks’, Journal of Monetary Economics, 59(3), pp 235–249.

Bagliano FC and CA Favero (1998), ‘Measuring Monetary Policy with VAR Models: An Evaluation’, European Economic Review, 42(6), pp 1069–1112.

Baker SR, N Bloom and SJ Davis (2016), ‘Measuring Economic Policy Uncertainty’, The Quarterly Journal of Economics, 131(4), pp 1593–1636.

Baley I and JA Blanco (2016), ‘Menu Costs, Uncertainty Cycles, and the Propagation of Nominal Shocks’, Barcelona GSE Working Paper No 918.

Basu S and B Bundick (2015), ‘Endogenous Volatility at the Zero Lower Bound: Implications for Stabilization Policy’, Federal Reserve Bank of Kansas City Research Working Paper No 15-01.

Basu S and B Bundick (2017), ‘Uncertainty Shocks in a Model of Effective Demand’, Econometrica, 85(3), pp 937–958.

Bekaert G, M Hoerova and M Lo Duca (2013), ‘Risk, Uncertainty and Monetary Policy’, Journal of Monetary Economics, 60(7), pp 771–788.

Berger D and J Vavra (2014), ‘Measuring How Fiscal Shocks Affect Durable Spending in Recessions and Expansions’, The American Economic Review, 104(5), pp 112–115.

Berger D and J Vavra (2015), ‘Consumption Dynamics during Recessions’, Econometrica, 83(1), pp 101–154.

Bernanke BS (2013), ‘Long-Term Interest Rates’, Dinner Remarks given at a Research Conference ‘The Past and Future of Monetary Policy’, Federal Reserve Bank of San Francisco, San Francisco, 1 March.

Blanchard O (2009), ‘(Nearly) Nothing to Fear but Fear Itself’, The Economist, 31 January–6 February, p 76.

Bloom N (2009), ‘The Impact of Uncertainty Shocks’, Econometrica, 77(3), pp 623–685.

Bloom N (2014), ‘Fluctuations in Uncertainty’, Journal of Economic Perspectives, 28(2), pp 153–176.

Bloom N (2017), ‘Observations on Uncertainty’, The Australian Economic Review, 50(1), pp 79–84.

Bloom N, M Floetotto, N Jaimovich, I Saporta-Eksten, and SJ Terry (2014), ‘Really Uncertain Business Cycles’, US Census Bureau, Center for Economic Studies Paper No CES 14-18.

Cacciatore M and F Ravenna (2015), ‘Uncertainty, Wages, and the Business Cycle’, Paper presented at the 29th Annual Meeting of the Canadian Macroeconomics Study Group, Montréal, 6–7 November.

Caggiano G and E Castelnuovo (2011), ‘On the Dynamics of International Inflation’, Economics Letters, 112(2), pp 189–191.

Caggiano G, E Castelnuovo, V Colombo and G Nodari (2015), ‘Estimating Fiscal Multipliers: News from a Non-Linear World’, Economic Journal, 125(584), pp 746–776.

Caggiano G, E Castelnuovo and JM Figueres (2017), ‘Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach’, Economics Letters, 151, pp 31–34.

Caggiano G, E Castelnuovo and N Groshenny (2014), ‘Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions’, Journal of Monetary Economics, 67, pp 78–92.

Caggiano G, E Castelnuovo and G Pellegrino (2017), ‘Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound’, European Economic Review, 100, pp 257–272.

Caldara D, C Fuentes-Albero, S Gilchrist, and E Zakrajšek (2016), ‘The Macroeconomic Impact of Financial and Uncertainty shocks’, European Economic Review, 88, pp 185–207.

Canova F (2007), Methods for Applied Macroeconomic Research, Princeton University Press, Princeton.

Carriero A, TE Clark and M Marcellino (2016), ‘Measuring Uncertainty and Its Impact on the Economy’, Federal Reserve Bank of Cleveland Working Paper No 16-22.

Casarin R, C Foroni, M Marcellino and F Ravazzolo (2016), ‘Uncertainty through the Lenses of a Mixed-Frequency Bayesian Panel Markov Switching Model’, Innocenzo Gasparini Institute for Economic Research IGIER Working Paper No 585.

Chernozhukov V and H Hong (2003), ‘An MCMC Approach to Classical Estimation’, Journal of Econometrics, 115(2), pp 293–346.

Cogley T and JM Nason (1995), ‘Effects of the Hodrick-Prescott Filter on Trend and Difference Stationary Time Series: Implications for Business Cycle Research’, Journal of Economic Dynamics & Control, 19(1–2), pp 253–278.

Eickmeier S, N Metiu and E Prieto (2016), ‘Time-Varying Volatility, Financial Intermediation and Monetary Policy’, Australian National University, Centre for Applied Macroeconomic Analysis CAMA Working Paper No 32/2016.

Evans C, J Fisher, F Gourio and S Krane (2015), ‘Risk Management for Monetary Policy Near the Zero Lower Bound’, Federal Reserve Bank of Chicago Working Paper No 2015-03.

Ferrara L and P Guérin (2015), ‘What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks?’, EconomiX Working Paper No 2015-12.

Frizell S (2014), ‘Could a 40-Year-Old Bank Collapse Have Saved the U.S. Economy?’, Time site, 8 October. Available at <http://time.com/3479314/franklin-national-bank>.

Furlanetto F, F Ravazzolo and S Sarferaz (2014), ‘Identification of Financial Factors in Economic Fluctuations’, Norges Bank Working Paper No 09|2014.

Gilchrist S and E Zakrajšek (2012), ‘Credit Spreads and Business Cycle Fluctuations’, The American Economic Review, 102(4), pp 1692–1720.

Gnabo J-Y and DN Moccero (2015), ‘Risk Management, Nonlinearity and Aggressiveness in Monetary Policy: The Case of the US Fed’, Journal of Banking & Finance, 55, pp 281–294.

Greenspan A (2004), ‘Risk and Uncertainty in Monetary Policy’, The American Economic Review, 94(2), pp 33–40.

Gürkaynak RS, B Sack and E Swanson (2005), ‘The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models’, The American Economic Review, 95(1), pp 425–436.

Hansen B (1999), ‘Testing for Linearity’, Journal of Economic Surveys, 13(5), pp 551–576.

Jurado K, SC Ludvigson and S Ng (2015), ‘Measuring Uncertainty’, The American Economic Review, 105(3), pp 1177–1216.

Knight FH (1921), Risk, Uncertainty, and Profit, Houghton Mifflin Company, Boston.

Koop G, MH Pesaran and SM Potter (1996), ‘Impulse Response Analysis in Nonlinear Multivariate Models’, Journal of Econometrics, 74(1), pp 119–147.

Koop G and SM Potter (1999), ‘Dynamic Asymmetries in U.S. Unemployment’, Journal of Business & Economic Statistics, 17(3), pp 298–312.

Kulish M (2007), ‘Should Monetary Policy Use Long-Term Rates?’, B.E. Journal of Macroeconomics, 7(1), Advances, Article 15.

Leduc S and Z Liu (2016), ‘Uncertainty Shocks are Aggregate Demand Shocks’, Journal of Monetary Economics, 82, pp 20–35.

Ludvigson SC, S Ma and S Ng (2015), ‘Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?’, NBER Working Paper No 21803.

Luukkonen R, P Saikkonen and T Teräsvirta (1988), ‘Testing Linearity against Smooth Transition Autoregressive Models’, Biometrika, 75(3), pp 491–499.

Mittnik S (1990), ‘Modelling Nonlinear Processes With Generalized Autoregressions’, Applied Mathematics Letters, 3(4), pp 71–74.

Morley J and J Piger (2012), ‘The Asymmetric Business Cycle’, The Review of Economics and Statistics, 94(1), pp 208–221.

Morley J, J Piger and P-L Tien (2013), ‘Reproducing Business Cycle Features: Are Nonlinear Dynamics a Proxy for Multivariate Information?’, Studies in Nonlinear Dynamics and Econometrics, 17(5), pp 483–498.

Mumtaz H and P Surico (2015), ‘The Transmission Mechanism in Good and Bad Times’, International Economic Review, 56(4), pp 1237–1260.

Nodari G (2014), ‘Financial Regulation Policy Uncertainty and Credit Spreads in the US’, Journal of Macroeconomics, 41, pp 122–132.

Orlik A and L Veldkamp (2014), ‘Understanding Uncertainty Shocks and the Role of Black Swans’, NBER Working Paper No 20445.

Pellegrino G (2017a), ‘Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory’, Melbourne Institute Working Paper No 6/17.

Pellegrino G (2017b), ‘Uncertainty and the Real Effects of Monetary Policy Shocks in the Euro Area’, Melbourne Institute Working Paper No 15/17.

Ramey V and S Zubairy (forthcoming), ‘Government Spending Multipliers in Good Times and in Bad: Evidence from U.S. Historical Data’, Journal of Political Economy.

Rossi B and T Sekhposyan (2015), ‘Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions’, The American Economic Review, 105(5), pp 650–655.

Rossi B and T Sekhposyan (2017), ‘Macroeconomic Uncertainty Indices for the Euro Area and Its Individual Member Countries’, Empirical Economics, 53(1), pp 41–62.

Rossi B, T Sekhposyan and M Soupre (2016), ‘Understanding the Sources of Macroeconomic Uncertainty’, Centre for Economic Policy Research Discussion Paper 11415.

Scotti C (2016), ‘Surprise and Uncertainty Indexes: Real-Time Aggregation of Real-Activity Macro-Surprises’, Journal of Monetary Economics, 82, pp 1–19.

Seneca M (2016), ‘Risk Shocks Close to the Zero Lower Bound’, Bank of England Staff Working Paper No 606.

Sichel DE (1993), ‘Business Cycle Asymmetry: A Deeper Look’, Economic Inquiry, 31(2), pp 224–236.

Sims CA and T Zha (2006), ‘Were There Regime Switches in U.S. Monetary Policy?’, The American Economic Review, 96(1), pp 54–81.

Stock JH and MW Watson (2012), ‘Disentangling the Channels of the 2007–09 Recession’, Brookings Papers on Economic Activity, Spring, pp 81–135.

Tenreyro S and G Thwaites (2016), ‘Pushing on a String: US Monetary Policy is Less Powerful in Recessions’, American Economic Journal: Macroeconomics, 8(4), pp 43–74.

Teräsvirta T, D Tjøstheim and CWJ Granger (2010), Modelling Nonlinear Economic Time Series, Advanced Texts in Econometrics, Oxford University Press, Oxford.

Teräsvirta T and Y Yang (2014), ‘Linearity and Misspecification Tests for Vector Smooth Transition Regression Models’, Aarhus University, Department of Economics and Business, Center for Research in Econometric Analysis of Time Series CREATES Research Paper 2014-4.

van Dijk D, T Teräsvirta and PH Franses (2002), ‘Smooth Transition Autoregressive Models — A Survey of Recent Developments’, Econometric Reviews, 21(1), pp 1–47.

Vavra J (2014), ‘Inflation Dynamics and Time-Varying Volatility: New Evidence and an Ss Interpretation’, The Quarterly Journal of Economics, 129(1), pp 215–258.

Weise CL (1999), ‘The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach’, Journal of Money, Credit and Banking, 31(1), pp 85–108.

Yellen J (2015), ‘Transcript of Chair Yellen's Press Conference’, Federal Open Market Committee, Washington DC, 17 September.