Giovanni Caggiano
;
Efrem Castelnuovo
;
Gabriela Nodari

uncertainty and monetary policy in good and bad times: a replication of the vector autoregressive investigation by bloom (2009) (replication data)

This paper revisits the well-known vector autoregressive (VAR) evidence on the real effects of uncertainty shocks by Bloom (2009, https://doi.org/10.3982/ECTA6248). We replicate the results in a narrow sense using EViews. In a wide sense, we extend his study by working with a smooth transition VAR framework that allows for business cycle-dependent macroeconomic responses to an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual simulations point to a greater effectiveness of systematic monetary policy in stabilizing real activity in expansions.

Data and Resources

Suggested Citation

Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela (2022): Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009) (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022327.072023