Efrem Castelnuovo

TL;DR: In this article, the effects of uncertainty shocks on unemployment dynamics were investigated by estimating non-linear smooth transition models with post-WWII US data, and the relevance of such uncertainty shocks was found to be much larger than that predicted by standard linear VARs in terms of magnitude of the reaction of the unemployment rate to such shocks, and contribution to the variance of the prediction errors of unemployment at business cycle frequencies.

TL;DR: In this paper, the effects of an unanticipated increase in economic policy uncertainty on unemployment in recessions and expansions were studied and the response of unemployment to such an increase was statistically and economically larger.

TL;DR: The authors employ a parsimonious nonlinear Interacted-VAR to examine whether the real effects of uncertainty shocks are greater when the economy is at the zero lower bound and find that the contractionary effects are statistically larger when the ZLB is binding, with differences that are economically important.

TL;DR: In this article, the authors use survey data on long-term inflation expectations in 15 industrial countries since the early nineties to investigate how well anchored are inflation expectations and they find that in all countries except Japan longterm inflation expectation are well anchored and generally increasingly so over the past decade.

TL;DR: In this article, the authors estimate nonlinear VARs to assess to what extent fiscal spending multipliers are countercyclical in the United States and deal with the issue of non-fundamentalness due to fiscal foresight by appealing to sums of revisions of expectations of fiscal expenditures.