Caggiano, Giovanni; Castelnuovo, Efrem; Groshenny, Nicolas - In: Journal of Monetary Economics 67 (2014) C, pp. 78-92
What are the effects of uncertainty shocks on unemployment dynamics? We answer this question by estimating non-linear (Smooth-Transition) VARs with post-WWII U.S. data. The relevance of uncertainty shocks is found to be much larger than that predicted by standard linear VARs in terms of (i)...
