Economic policy uncertainty and unemployment in the United States: A nonlinear approach

Caggiano, Giovanni; Castelnuovo, Efrem; Figueres, Juan Manuel

Economic policy uncertainty and unemployment in the United States: A nonlinear approach

2017

Caggiano, Giovanni | Castelnuovo, Efrem | Figueres, Juan Manuel

We model US post-WWII monthly data with a Smooth Transition VAR model and study the effects of an unanticipated increase in economic policy uncertainty on unemployment in recessions and expansions. We find the response of unemployment to be statistically and economically larger in recessions. A state-contingent forecast error variance decomposition analysis confirms that the contribution of EPU shocks to the volatility of unemployment at business cycle frequencies is markedly larger in recessions.

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Ключевые слова АГРОВОК

business cycles models uncertainty unemployment

Библиографическая информация

Опубликовано в

Economics letters

Том 151 Нумерация страниц 31 - 34 ISSN 0165-1765

Издатель

Elsevier B.V.

Другие темы

Economic policy uncertainty shocks; E32; Variance; E52; United states; Expansions; Recessions; Economic policy; Smooth transition vector autoregressions; Unemployment dynamics; C32

Язык

Английский

Тип

Journal Article; Text

В АГРИСе с: 2024-02-28

Формат: MODS

Поставщик данных

Эту запись предоставил National Agricultural Library

Откройте коллекцию этого поставщика данных в AGRIS

Ссылки

DOI http://dx.doi.org/10.1016/j.econlet.2016.12.002

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