scholarly journals Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound

2017 ◽  
Author(s):  
Giovanni Caggiano ◽  
Efrem Castelnuovo ◽  
Giovanni Pellegrino
Keyword(s):  
Lower Bound ◽  
Zero Lower Bound ◽  
The Real ◽  
Real Effects ◽  
Uncertainty Shocks

scholarly journals Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound

2017 ◽  
Author(s):  
Giovanni Caggiano ◽  
Efrem Castelnuovo ◽  
Giovanni Pellegrino
Keyword(s):  
Lower Bound ◽  
Zero Lower Bound ◽  
The Real ◽  
Real Effects ◽  
Uncertainty Shocks

scholarly journals Estimating the real effects of uncertainty shocks at the Zero Lower Bound

2017 ◽  
Vol 100 ◽  
pp. 257-272 ◽  
Author(s):  
Giovanni Caggiano ◽  
Efrem Castelnuovo ◽  
Giovanni Pellegrino
Keyword(s):  
Lower Bound ◽  
Zero Lower Bound ◽  
The Real ◽  
Real Effects ◽  
Uncertainty Shocks

scholarly journals Uncertainty, Financial Markets, and Monetary Policy over the Last Century

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Sangyup Choi ◽  
Chansik Yoon
Keyword(s):  
Monetary Policy ◽  
Lower Bound ◽  
Minor Role ◽  
Zero Lower Bound ◽  
Financial Shocks ◽  
Financial Variables ◽  
Uncertainty Shocks ◽  
Financial Conditions ◽  
Negative Effect ◽  
A Minor

Abstract What has been the effect of uncertainty shocks in the U.S. economy over the last century? What are the roles of the financial channel and monetary policy channel in propagating uncertainty shocks? Our empirical strategies enable us to distinguish between the effects of uncertainty shocks on key macroeconomic and financial variables transmitted through each channel. A hundred years of data further allow us to answer these questions from a novel historical perspective. This paper finds robust evidence that financial conditions captured by both borrowing costs and the availability of credit have played a crucial role in propagating uncertainty shocks over the last century. However, heightened uncertainty does not necessarily amplify the adverse effect of financial shocks, suggesting an asymmetric interaction between uncertainty and financial shocks. Interestingly, the monetary policy stance seems to play only a minor role in propagating uncertainty shocks, which is in sharp contrast to the recent claim that binding zero-lower-bound amplifies the negative effect of uncertainty shocks. We argue that the contribution of constrained monetary policy to amplifying uncertainty shocks is largely masked by the joint concurrence of binding zero-lower-bound and tightened financial conditions.

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