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Uncertainty across volatility regimes

Published:2018-12-26 Issue:3 Volume:34 Page:437-455
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J Appl Econ

Author:

Angelini Giovanni¹^ORCID,Bacchiocchi Emanuele²,Caggiano Giovanni³⁴,Fanelli Luca⁵

Affiliation:

1. Department of EconomicsUniversity Ca' Foscari Venice Italy

2. Department of Economics, Management and Quantitative MethodsUniversity of Milan Milan Italy

3. Department of EconomicsMonash University Caulfield East Victoria Australia

4. Department of Economics and ManagementUniversity of Padua Padua Italy

5. Department of EconomicsUniversity of Bologna Bologna Italy

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.2672

Reference52 articles.

1. Have Standard VARS Remained Stable Since the Crisis?

2. Financial regimes and uncertainty shocks

3. Alfaro I. N. Bloom N. &Lin X.(2018).The Finance Uncertainty Multiplier. (NBER Working Paper 24571).Cambridge MA: National Bureau of Economic Research.

4. Financial Frictions and Fluctuations in Volatility

5. GIMME A BREAK! IDENTIFICATION AND ESTIMATION OF THE MACROECONOMIC EFFECTS OF MONETARY POLICY SHOCKS IN THE UNITED STATES

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