Efrem Castelnuovo

University of Melbourne - Department of Economics

Associate Professor

Melbourne, 3010

Australia

http://https://sites.google.com/site/efremcastelnuovo/home

University of Padova - Department of Economics

PhD

via Del Santo 33

Padova, 35123

Italy

SCHOLARLY PAPERS

47

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5,037

SSRN CITATIONS
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SSRN RANKINGS

Top 1,613

in Total Papers Citations

419

CROSSREF CITATIONS

313

Scholarly Papers (47)

1.

Definition of Price Stability, Range and Point Inflation Targets: The Anchoring of Long-Term Inflation Expectations

Number of pages: 52 Posted: 22 Jan 2004
University of Melbourne - Department of Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 793 (34,112)
Citation 1

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inflation expectations, credibility, nominal anchor, definition of price stability, inflation target

2.

Learning by Doing vs Learning by Researching in a Model of Climate Change Policy Analysis

Number of pages: 42 Posted: 16 Apr 2003
University of Milan - Department of Environmental Science and Policy (ESP), University of Melbourne - Department of Economics, World Bank - Environment Department - Climate Change Unit and University of Brescia - Department of Economics
Downloads 335 (100,204)
Citation 1

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Climate Policy, Environmental Modeling, Integrated Assessment, Technical Change

3.

Global Warming, Uncertainty and Endogenous Technical Change: Implications for Kyoto

Number of pages: 37 Posted: 11 Oct 2001
Efrem Castelnuovo, Michele Moretto and Sergio Vergalli
University of Melbourne - Department of Economics, University of Padua, Dep of Economics and Management and University of Brescia - Department of Economics
Downloads 278 (122,578)
Citation 1

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Climate change, endogenous technical change, uncertainty

4.
Downloads 272 (125,426)
Citation 37

Uncertainty and Monetary Policy in Good and Bad Times

Bank of Finland Research Discussion Paper No. 8/2017
Number of pages: 67 Posted: 05 May 2017
Giovanni Caggiano, Efrem Castelnuovo and Gabriela Nodari
Department of Economics, Monash University, University of Melbourne - Department of Economics and University of Verona - Department of Economics
Downloads 175 (190,883)
Citation 4

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uncertainty shocks, nonlinear Smooth Transition Vector AutoRegressions, Generalized Impulse Response Functions, systematic monetary policy

Uncertainty and Monetary Policy in Good and Bad Times

Melbourne Institute Working Paper No. 9/17
Number of pages: 66 Posted: 23 Mar 2017
Giovanni Caggiano, Efrem Castelnuovo and Gabriela Nodari
Department of Economics, Monash University, University of Melbourne - Department of Economics and University of Verona - Department of Economics
Downloads 97 (302,153)
Citation 48

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Uncertainty shocks, nonlinear Smooth Transition Vector AutoRegressions, Generalized Impulse Response Functions, systematic monetary policy

Uncertainty and Monetary Policy in Good and Bad Times

CESifo Working Paper Series No. 6630
Posted: 20 Sep 2017
Giovanni Caggiano, Efrem Castelnuovo and Gabriela Nodari
Department of Economics, Monash University, University of Melbourne - Department of Economics and University of Verona - Department of Economics

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uncertainty shocks, nonlinear Smooth Transition Vector AutoRegressions, Generalized Impulse Response Functions, systematic monetary policy

Economic Policy Uncertainty Spillovers in Booms and Busts

Melbourne Institute Working Paper No. 13/17
Number of pages: 57 Posted: 24 May 2017
Giovanni Caggiano, Efrem Castelnuovo and Juan Manuel Figueres
Department of Economics, Monash University, University of Melbourne - Department of Economics and University of Padova - Department of Economics and Management
Downloads 193 (174,873)
Citation 14

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Economic policy uncertainty shocks, spillover effects, unemployment dynamics, Smooth Transition Vector AutoRegressions, recessions

Economic Policy Uncertainty Spillovers in Booms and Busts

CESifo Working Paper Series No. 7086
Number of pages: 57 Posted: 22 Jul 2018
Giovanni Caggiano, Efrem Castelnuovo and Juan Manuel Figueres
Department of Economics, Monash University, University of Melbourne - Department of Economics and University of Padova - Department of Economics and Management
Downloads 21 (589,464)
Citation 3

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economic policy uncertainty shocks, spillover effects, unemployment dynamics, smooth transition vector autoregressions, recessions

Economic Policy Uncertainty Spillovers in Booms and Busts

CAMA Working Paper No. 27/2018
Number of pages: 58 Posted: 08 Jun 2018
Giovanni Caggiano, Efrem Castelnuovo and Juan Manuel Figueres
Department of Economics, Monash University, University of Melbourne - Department of Economics and University of Padova - Department of Economics and Management
Downloads 19 (603,873)
Citation 7

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Economic Policy Uncertainty Shocks, Spillover Effects, Unemployment Dynamics, Smooth Transition Vector Autoregressions, Recessions.

Economic Policy Uncertainty Spillovers in Booms and Busts

Oxford Bulletin of Economics and Statistics, Vol. 82, Issue 1, pp. 125-155, 2020
Number of pages: 31 Posted: 02 Jun 2020
Giovanni Caggiano, Efrem Castelnuovo and Juan Manuel Figueres
Department of Economics, Monash University, University of Melbourne - Department of Economics and University of Padova - Department of Economics and Management
Downloads 0
Citation 2
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6.

The Price Puzzle: Fact or Artefact?

Bank of England Working Paper No. 288
Number of pages: 51 Posted: 26 Jan 2006
Efrem Castelnuovo and Paolo Surico
University of Melbourne - Department of Economics and London Business School - Department of Economics
Downloads 220 (154,865)
Citation 21

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Price Puzzle, DSGE model, Taylor principle, indeterminacy, SVARs

7.

What Does Monetary Policy Reveal About Central Bank's Preferences?

Number of pages: 28 Posted: 07 Feb 2002
Paolo Surico and Efrem Castelnuovo
London Business School - Department of Economics and University of Melbourne - Department of Economics
Downloads 216 (157,522)

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Central bank's preferences, calibration, inflation targeting, optimal monetary policy

8.

Stock Market Conditions and Monetary Policy in an DSGE Model for the US

Bank of Finland Research Discussion Paper No. 11/2010
Number of pages: 68 Posted: 06 May 2010
Efrem Castelnuovo and Salvatore Nistico
University of Melbourne - Department of Economics and affiliation not provided to SSRN
Downloads 214 (158,865)
Citation 9

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stock prices, monetary policy, Bayesian estimation, wealth effects

Model Uncertainty, Optimal Monetary Policy and the Preferences of the Fed

Number of pages: 39 Posted: 12 Dec 2001
Paolo Surico and Efrem Castelnuovo
London Business School - Department of Economics and University of Melbourne - Department of Economics
Downloads 191 (176,485)

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Model uncertainty, interest rate smoothing, Fed policy preferences, optimal monetary policy

Model Uncertainty, Optimal Monetary Policy and the Preferences of the Fed

Number of pages: 22 Posted: 03 Apr 2004
Efrem Castelnuovo and Paolo Surico
University of Melbourne - Department of Economics and London Business School - Department of Economics
Downloads 11 (664,096)
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10.

Describing the Fed's Conduct with Taylor Rules: Is Interest Rate Smoothing Important?

Number of pages: 50 Posted: 19 Jun 2003
Efrem Castelnuovo
University of Melbourne - Department of Economics
Downloads 194 (174,166)

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Taylor rules, omitted variables, serial correlation, interest rate smoothing

11.

Emission Trading Restrictions with Endogenous Technological Change

FEEM Working Paper No. 43.00
Number of pages: 18 Posted: 25 Sep 2000
Paolo Buonanno, Carlo Carraro, Efrem Castelnuovo and Marzio Galeotti
Fondazione Eni Enrico Mattei (FEEM), Milan, Fondazione Eni Enrico Mattei (FEEM), University of Melbourne - Department of Economics and University of Milan - Department of Environmental Science and Policy (ESP)
Downloads 183 (183,542)
Citation 6

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Climate policy, environmental modelling, integrated

Monetary Policy, Inflation Expectations and the Price Puzzle

Bank of Finland Research Discussion Paper No. 30/2009
Number of pages: 38 Posted: 28 Nov 2009
Efrem Castelnuovo and Paolo Surico
University of Melbourne - Department of Economics and London Business School - Department of Economics
Downloads 162 (204,126)
Citation 19

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SVARs, price puzzle, sticky price model, Taylor principle, passive policy

Monetary Policy, Inflation Expectations and the Price Puzzle

The Economic Journal, Vol. 120, Issue 549, pp. 1262-1283, December 2010
Number of pages: 22 Posted: 17 Nov 2010
Efrem Castelnuovo and Paolo Surico
University of Melbourne - Department of Economics and London Business School - Department of Economics
Downloads 2 (740,493)
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13.
Downloads 143 (226,118)
Citation 3

The Global Effects of Covid-19-induced Uncertainty

Bank of Finland Research Discussion Paper No. 11/2020
Number of pages: 14 Posted: 09 Jun 2020
Giovanni Caggiano, Efrem Castelnuovo and Richard Kima
Department of Economics, Monash University, University of Melbourne - Department of Economics and Monash University - Department of Economics
Downloads 66 (381,006)

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Covid-19, Financial Uncertainty, Vector AutoRegressions, Global nancial cycle, World industrial production.

The Global Effects of COVID-19-Induced Uncertainty

CAMA Working Paper No. 50/2020
Number of pages: 13 Posted: 05 Jun 2020
Giovanni Caggiano, Efrem Castelnuovo and Richard Kima
Department of Economics, Monash University, University of Melbourne - Department of Economics and Monash University
Downloads 46 (452,997)
Citation 1

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COVID-19, Financial Uncertainty, Vector AutoRegressions, Global financial cycle, World industrial production

The Global Effects of COVID-19-Induced Uncertainty

CESifo Working Paper No. 8280
Number of pages: 13 Posted: 14 May 2020
Giovanni Caggiano, Efrem Castelnuovo and Richard Kima
Department of Economics, Monash University, University of Melbourne - Department of Economics and Monash University - Department of Economics
Downloads 31 (524,848)
Citation 2

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Covid-19, financial uncertainty, vector autoregressions, global financial cycle, world industrial production

14.

Estimating Regime-Switching Taylor Rules with Trend Inflation

Bank of Finland Research Discussion Paper No. 20/2008
Number of pages: 43 Posted: 16 Sep 2008
Efrem Castelnuovo, Luciano G. Greco and Davide Raggi
University of Melbourne - Department of Economics, University of Padova - Department of Economics and University of Bologna - Department of Economics
Downloads 143 (226,118)
Citation 8

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active and passive Taylor rules, trend inflation, inflation gap persistence, Markov-switching models

Google It Up! A Google Trends-Based Uncertainty Index for the United States and Australia

Melbourne Institute Working Paper No. 27/17
Number of pages: 25 Posted: 10 Oct 2017
Efrem Castelnuovo and Trung Duc Tran
University of Melbourne - Department of Economics and University of Melbourne - Department of Economics
Downloads 82 (336,354)
Citation 19

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Google Trends Uncertainty indices, uncertainty shocks, unemployment dynamics, VAR analysis

Google it Up! A Google Trends-Based Uncertainty Index for the United States and Australia

CESifo Working Paper Series No. 6695
Number of pages: 24 Posted: 21 Nov 2017
Efrem Castelnuovo and Trung Duc Tran
University of Melbourne - Department of Economics and University of Melbourne - Department of Economics
Downloads 37 (493,661)

Abstract:

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Google Trends Uncertainty Indices, Uncertainty Shocks, Unemployment Dynamics, VAR Analysis

16.

Monetary Policy Switch, the Taylor Curve, and the Great Moderation

Number of pages: 29 Posted: 02 Feb 2006
Efrem Castelnuovo
University of Melbourne - Department of Economics
Downloads 115 (267,036)
Citation 1

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Taylor principle, Taylor curve, new Keynesian model, indeterminacy, persistence

Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach

Melbourne Institute Working Paper No. 2/17
Number of pages: 19 Posted: 17 Jan 2017
Giovanni Caggiano, Efrem Castelnuovo and Juan Manuel Figueres
Department of Economics, Monash University, University of Melbourne - Department of Economics and University of Padova - Department of Economics and Management
Downloads 77 (349,326)

Abstract:

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Economic policy uncertainty shocks, unemployment dynamics, Smooth Transition Vector AutoRegressions, recessions, expansions

Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach

CESifo Working Paper Series No. 7105
Number of pages: 20 Posted: 09 Aug 2018
Giovanni Caggiano, Efrem Castelnuovo and Juan Manuel Figueres
Department of Economics, Monash University, University of Melbourne - Department of Economics and University of Padova - Department of Economics and Management
Downloads 27 (548,693)
Citation 26

Abstract:

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economic policy uncertainty shocks, unemployment dynamics, Smooth Transition Vector AutoRegressions, recessions, expansions

Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound

Bank of Finland Research Discussion Paper No. 6/2017
Number of pages: 57 Posted: 07 Feb 2017 Last Revised: 13 Dec 2017
Giovanni Caggiano, Efrem Castelnuovo and Giovanni Pellegrino
Department of Economics, Monash University, University of Melbourne - Department of Economics and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
Downloads 48 (444,775)

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uncertainty shocks, nonlinear structural vector autoregressions, interacted VAR, generalized impulse response functions, zero lower bound

Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound

Melbourne Institute Working Paper No. 1/17
Number of pages: 56 Posted: 17 Jan 2017
Giovanni Caggiano, Efrem Castelnuovo and Giovanni Pellegrino
Department of Economics, Monash University, University of Melbourne - Department of Economics and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
Downloads 37 (493,661)
Citation 4

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Uncertainty shocks, Nonlinear Structural Vector AutoRegressions, Interacted VAR, Generalized Impulse Response Functions, Zero Lower Bound

Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound

CESifo Working Paper Series No. 6622
Number of pages: 57 Posted: 20 Sep 2017
Giovanni Caggiano, Efrem Castelnuovo and Giovanni Pellegrino
Department of Economics, Monash University, University of Melbourne - Department of Economics and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
Downloads 17 (618,358)
Citation 26

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uncertainty shocks, nonlinear structural vector auto regressions, interacted VAR, generalized impulse response functions, zero lower bound

Yield Curve and Financial Uncertainty: Evidence Based on Us Data

CESifo Working Paper No. 7697
Number of pages: 23 Posted: 10 Jul 2019 Last Revised: 23 Jul 2019
Efrem Castelnuovo
University of Melbourne - Department of Economics
Downloads 80 (341,423)
Citation 1

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financial uncertainty shocks, yield curve, local projections, inflation dynamics, output growth

Yield Curve and Financial Uncertainty: Evidence Based on US Data

CAMA Working Paper No. 38/2019
Number of pages: 21 Posted: 14 Jun 2019
Efrem Castelnuovo
University of Melbourne - Department of Economics
Downloads 16 (625,610)
Citation 1

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financial uncertainty shocks, yield curve, local projections, inflation dynamics, output growth

Yield Curve and Financial Uncertainty: Evidence Based on US Data

Australian Economic Review, Vol. 52, Issue 3, pp. 323-335, 2019
Number of pages: 13 Posted: 24 Mar 2020
Efrem Castelnuovo
University of Melbourne - Department of Economics
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What Do We Know About the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers

CESifo Working Paper No. 7366
Number of pages: 25 Posted: 21 Feb 2019
Efrem Castelnuovo and Guay C. Lim
University of Melbourne - Department of Economics and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
Downloads 54 (421,752)

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fiscal multipliers, business cycle, fiscal spending taxes, monetary policy

What Do We Know About the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers

CAMA Working Paper No. 59/2018
Number of pages: 25 Posted: 19 Nov 2018
Efrem Castelnuovo and Guay C. Lim
University of Melbourne - Department of Economics and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
Downloads 33 (513,947)

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What Do We Know About the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers

Australian Economic Review, Vol. 52, Issue 1, pp. 78-93, 2019
Number of pages: 16 Posted: 06 Mar 2019
Efrem Castelnuovo and Guay Lim
University of Melbourne - Department of Economics and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
Downloads 1 (754,621)
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21.

Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions

Melbourne Institute Working Paper No. 12/14
Number of pages: 60 Posted: 16 May 2014
Giovanni Caggiano, Efrem Castelnuovo and Nicolas Groshenny
Department of Economics, Monash University, University of Melbourne - Department of Economics and Reserve Bank of New Zealand
Downloads 88 (319,211)
Citation 31

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Uncertainty shocks, unemployment dynamics, Smooth Transition Vector-AutoRegressions, recessions

22.

Squeezing the Interest Rate Smoothing Weight with a Hybrid Expectations Model

Number of pages: 41 Posted: 27 Feb 2003
Efrem Castelnuovo
University of Melbourne - Department of Economics
Downloads 77 (348,456)
Citation 8

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Central Banker, Interest Rate Smoothing, Rational Expectations, Hybrid Phillips Curve, Hybrid IS Curve

23.

Estimating Fiscal Multipliers: News from a Nonlinear World

Melbourne Institute Working Paper No. 26/14
Number of pages: 71 Posted: 20 Dec 2014
Department of Economics, Monash University, University of Melbourne - Department of Economics, University of Verona - Department of Economics and University of Padova - Department of Economics and Management
Downloads 73 (356,511)
Citation 11

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Fiscal news, fiscal foresight, fiscal spending multiplier, Smooth Transition Vector-AutoRegressions, extreme events

Domestic and Global Uncertainty: A Survey and Some New Results

CESifo Working Paper No. 7900
Number of pages: 46 Posted: 23 Oct 2019
Efrem Castelnuovo
University of Melbourne - Department of Economics
Downloads 35 (503,534)

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uncertainty, uncertainty shocks, spillovers, global financial uncertainty, world business cycle

Domestic and Global Uncertainty: A Survey and Some New Results

CAMA Working Paper No. 75/2019
Number of pages: 46 Posted: 10 Oct 2019
Efrem Castelnuovo
University of Melbourne - Department of Economics
Downloads 22 (582,512)
Citation 6

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uncertainty, uncertainty shocks, spillovers, global financial uncertainty, world business cycle

Domestic and Global Uncertainty: A Survey and Some New Results

Melbourne Institute Working Paper No. 13/19
Number of pages: 47 Posted: 08 Nov 2019
Efrem Castelnuovo
University of Melbourne - Department of Economics
Downloads 13 (648,454)
Citation 2

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uncertainty, uncertainty shocks, spillovers, global financial uncertainty, world business cycle

25.

Liquidity Traps and Large-Scale Financial Crises

Melbourne Institute Working Paper No. 32/16
Number of pages: 61 Posted: 13 Oct 2016
Department of Economics, Monash University, University of Melbourne - Department of Economics, University Paris-Est Créteil (UPEC), Sciences Po Lyon and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
Downloads 57 (404,976)

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Keynesian Liquidity Trap, Threshold VAR, Monetary and Financial Cliometrics, Great Depression, Great Recession

26.

Testing the Structural Interpretation of the Price Puzzle with a Cost Channel Model

Bank of Finland Research Discussion Paper No. 20/2009
Number of pages: 37 Posted: 27 Nov 2009
Efrem Castelnuovo
University of Melbourne - Department of Economics
Downloads 48 (436,961)
Citation 21

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cost channel, inflation dynamics, price puzzle, trend inflation

Uncertainty-Dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation

Melbourne Institute Working Paper No. 02/18
Number of pages: 57 Posted: 05 Mar 2018
Efrem Castelnuovo and Giovanni Pellegrino
University of Melbourne - Department of Economics and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
Downloads 27 (548,693)
Citation 19

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Monetary policy shocks, uncertainty, Threshold VAR, medium scale DSGE framework, minimum-distance estimation

Uncertainty-Dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation

CESifo Working Paper Series No. 6821
Number of pages: 57 Posted: 22 Feb 2018
Efrem Castelnuovo and Giovanni Pellegrino
University of Melbourne - Department of Economics and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
Downloads 15 (633,072)

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monetary policy shocks, uncertainty, Threshold VAR, medium scale DSGE framework, minimum-distance estimation

28.

Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S.

Melbourne Institute Working Paper No. 31/16
Number of pages: 45 Posted: 12 Oct 2016
Emanuele Bacchiocchi, Efrem Castelnuovo and Luca Fanelli
Università degli Studi di Milano, University of Melbourne - Department of Economics and Universita di Bologna
Downloads 41 (465,229)
Citation 5

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structural break, recursive and non-recursive VARs, identification, monetary policy shocks, impulse responses

Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly

CESifo Working Paper No. 8426
Number of pages: 31 Posted: 28 Jul 2020
Giovanni Caggiano, Efrem Castelnuovo, Silvia Delrio and Richard Kima
Department of Economics, Monash University, University of Melbourne - Department of Economics, Bank of Italy and Monash University - Department of Economics
Downloads 21 (589,464)

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Financial uncertainty and real activity: The good, the bad, and the ugly

CAMA Working Paper No. 67/2020
Number of pages: 32 Posted: 10 Jul 2020
Giovanni Caggiano, Efrem Castelnuovo, Richard Kima and Silvia Delrio
Department of Economics, Monash University, University of Melbourne - Department of Economics, Monash University - Department of Economics and Bank of Italy
Downloads 16 (625,610)
Citation 1

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uncertainty shocks, finance-uncertainty multiplier, set-identification, VAR, financial frictions, COVID-19

30.

Policy Rules, Regime Switches, and Trend Inflation: An Empirical Investigation for the U.S.

Number of pages: 35 Posted: 23 Sep 2010
Efrem Castelnuovo, Luciano G. Greco and Davide Raggi
University of Melbourne - Department of Economics, University of Padova - Department of Economics and University of Bologna - Department of Economics
Downloads 31 (511,706)
Citation 5

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Policy switches, heteroskedasticity, trend inflation, inflation gap persistence, Markov-Switching models

31.

Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from a Robust Test

Melbourne Institute Working Paper No. 18/14
Number of pages: 60 Posted: 09 Aug 2014
Efrem Castelnuovo and Luca Fanelli
University of Melbourne - Department of Economics and Universita di Bologna
Downloads 30 (516,931)
Citation 3

Abstract:

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Confidence set, determinacy, identification failures, indeterminacy, misspecification, new-Keynesian business cycle model, VAR system

32.
Downloads 27 (533,541)
Citation 9

Risk Management-Driven Policy Rate Gap

Melbourne Institute Working Paper No. 10/18
Number of pages: 17 Posted: 08 Aug 2018 Last Revised: 05 Dec 2018
Giovanni Caggiano, Efrem Castelnuovo and Gabriela Nodari
Department of Economics, Monash University, University of Melbourne - Department of Economics and Reserve Bank of Australia
Downloads 11 (664,096)

Abstract:

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Risk management-driven policy rate gap, uncertainty, monetary policy, Taylor rules, real-time data

Risk Management-Driven Policy Rate Gap

CESifo Working Paper Series No. 7177
Number of pages: 16 Posted: 01 Oct 2018
Giovanni Caggiano, Efrem Castelnuovo and Gabriela Nodari
Department of Economics, Monash University, University of Melbourne - Department of Economics and Reserve Bank of Australia
Downloads 9 (679,699)
Citation 7

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risk management-driven policy rate gap, uncertainty, monetary policy, Taylor rules, real-time data

Risk Management-Driven Policy Rate Gap

CAMA Working Paper No. 34/2018
Number of pages: 16 Posted: 26 Jul 2018
Giovanni Caggiano, Efrem Castelnuovo and Gabriela Nodari
Department of Economics, Monash University, University of Melbourne - Department of Economics and Reserve Bank of Australia
Downloads 7 (695,405)

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Risk management-driven policy rate gap, uncertainty, monetary policy, Taylor rules, real-time data

Positive Trend Inflation and Determinacy in a Medium-Sized New Keynesian Model

FRB of Philadelphia Working Paper No. 17-16
Number of pages: 34 Posted: 28 Jun 2017
Jonas E Arias, Guido Ascari, Nicola Branzoli and Efrem Castelnuovo
Board of Governors of the Federal Reserve System, University of Pavia, Bank of Italy and University of Melbourne - Department of Economics
Downloads 18 (611,106)

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trend inflation, determinacy, monetary policy

Positive Trend Inflation and Determinacy in a Medium-Sized New Keynesian Model

CESifo Working Paper Series No. 7122
Number of pages: 35 Posted: 24 Aug 2018
Jonas E Arias, Guido Ascari, Nicola Branzoli and Efrem Castelnuovo
Board of Governors of the Federal Reserve System, University of Pavia, Bank of Italy and University of Melbourne - Department of Economics
Downloads 9 (679,699)
Citation 3

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trend inflation, determinacy, monetary policy

34.

What Does Monetary Policy Reveal About a Central Bank's Preferences?

Number of pages: 25 Posted: 26 Nov 2003
Efrem Castelnuovo and Paolo Surico
University of Melbourne - Department of Economics and London Business School - Department of Economics
Downloads 22 (564,288)
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35.

Liquidity Traps and Large-Scale Financial Crisis

CESifo Working Paper Series No. 7096
Number of pages: 57 Posted: 24 Jul 2018
Department of Economics, Monash University, University of Melbourne - Department of Economics, University Paris-Est Créteil (UPEC), Sciences Po Lyon and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
Downloads 21 (570,653)

Abstract:

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Keynesian liquidity trap, Threshold-VAR, monetary and financial cliometrics, Great Depression, Great Recession

36.

Positive Trend Inflation and Determinacy in a Medium-Sized New Keynesian Model

Melbourne Institute Working Paper No. 9/18
Number of pages: 35 Posted: 06 Jul 2018
Jonas E Arias, Guido Ascari, Nicola Branzoli and Efrem Castelnuovo
Board of Governors of the Federal Reserve System, University of Pavia, Bank of Italy and University of Melbourne - Department of Economics
Downloads 21 (570,653)
Citation 1

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trend inflation, determinacy, monetary policy

37.

Taylor Rules and Interest Rate Smoothing in the Euro Area

Manchester School, Vol. 75, No. 1, pp. 1-16, January 2007
Number of pages: 16 Posted: 03 Jan 2007
Efrem Castelnuovo
University of Melbourne - Department of Economics
Downloads 21 (570,653)
Citation 2
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Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?

CESifo Working Paper No. 8438
Number of pages: 40 Posted: 28 Jul 2020
University of Bologna - School of Economics, Management, and Statistics, Department of Economics, Monash University, University of Melbourne - Department of Economics and Universita di Bologna
Downloads 8 (687,539)

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Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?

CAMA Working Paper No. 69/2020
Number of pages: 41 Posted: 21 Jul 2020
University of Bologna - School of Economics, Management, and Statistics, Department of Economics, Monash University, University of Melbourne - Department of Economics and Universita di Bologna
Downloads 6 (703,436)

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Fiscal multipliers, fiscal policy, identification, instruments, structural vector autoregressions

Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?

Quaderni - Working Paper DSE N° 1151, 2020
Number of pages: 47 Posted: 12 Aug 2020
University of Bologna - School of Economics, Management, and Statistics, Department of Economics, Monash University, University of Melbourne - Department of Economics and Universita di Bologna
Downloads 6 (703,436)

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fiscal multipliers, fiscal policy, identification, instruments, structural vector auto-regressions

Uncertainty and Monetary Policy During Extreme Events

CAMA Working Paper No. 80/2020
Number of pages: 76 Posted: 03 Sep 2020
Giovanni Pellegrino, Efrem Castelnuovo and Giovanni Caggiano
Aarhus University, University of Melbourne - Department of Economics and Department of Economics, Monash University
Downloads 10 (671,743)

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Uncertainty shock, nonlinear IVAR, nonlinear DSGE framework, minimum-distance estimation, great recession, Covid-19

Uncertainty and Monetary Policy During Extreme Events

CESifo Working Paper No. 8561
Number of pages: 75 Posted: 25 Sep 2020
Giovanni Pellegrino, Efrem Castelnuovo and Giovanni Caggiano
Aarhus University, University of Melbourne - Department of Economics and Department of Economics, Monash University
Downloads 7 (695,405)

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house price prediction, machine learning, genetic algorithm, spatial aggregation

40.

Modest Macroeconomic Effects of Monetary Policy Shocks During the Great Moderation: An Alternative Interpretation

Melbourne Institute Working Paper No. 30/16
Number of pages: 35 Posted: 12 Oct 2016
Efrem Castelnuovo
University of Melbourne - Department of Economics
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Monetary policy shocks, Cholesky identification, VARs, Dynamic Stochastic General Equilibrium models, Monte Carlo simulations

Uncertainty and Monetary Policy in Good and Bad Times: A Replication of the VAR Investigation by Bloom (2009)

CESifo Working Paper No. 8497
Number of pages: 15 Posted: 25 Aug 2020
Giovanni Caggiano, Efrem Castelnuovo and Gabriela Nodari
Department of Economics, Monash University, University of Melbourne - Department of Economics and Reserve Bank of Australia
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uncertainty shocks, nonlinear smooth transition Vector AutoRegressions, generalized impulse response functions, systematic monetary policy

Uncertainty and Monetary Policy in Good and Bad Times: A Replication of the VAR Investigation by Bloom (2009)

CAMA Working Paper No. 74/2020
Number of pages: 16 Posted: 17 Aug 2020
Giovanni Caggiano, Efrem Castelnuovo and Gabriela Nodari
Department of Economics, Monash University, University of Melbourne - Department of Economics and Reserve Bank of Australia
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Uncertainty shocks, nonlinear Smooth Transition Vector AutoRegressions, Generalized Impulse Response Functions, systematic monetary policy

42.

Monetary Policy, Trend Inflation and the Great Moderation: An Alternative Interpretation - Comment

FRB International Finance Discussion Paper No. 1127
Number of pages: 23 Posted: 31 May 2017
Jonas Arias, Guido Ascari, Nicola Branzoli and Efrem Castelnuovo
Federal Reserve Bank of Philadelphia, University of Pavia, Bank of Italy and University of Melbourne - Department of Economics
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Trend inflation, determinacy, and monetary policy

43.

A Short Review of the Recent Literature on Uncertainty

Australian Economic Review, Vol. 50, Issue 1, pp. 68-78, 2017
Number of pages: 11 Posted: 24 Mar 2020
Efrem Castelnuovo, Guay Lim and Giovanni Pellegrino
University of Melbourne - Department of Economics, University of Melbourne - Melbourne Institute: Applied Economic & Social Research and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
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Citation 2
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44.

Macroeconomic Policies in a Low Interest Rate Environment: Back to Keynes?

Australian Economic Review, Vol. 51, Issue 1, pp. 70-86, 2018
Number of pages: 17 Posted: 02 Mar 2018
Efrem Castelnuovo, Guay Lim and Giovanni Pellegrino
University of Melbourne - Department of Economics, University of Melbourne - Melbourne Institute: Applied Economic & Social Research and University of Melbourne - Melbourne Institute: Applied Economic & Social Research
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45.

Estimating Fiscal Multipliers: News from a Non‐Linear World

The Economic Journal, Vol. 125, Issue 584, pp. 746-776, 2015
Number of pages: 31 Posted: 27 May 2015
Department of Economics, Monash University, University of Melbourne - Department of Economics, University of Padova - Department of Economics and Management and University of Verona - Department of Economics
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Citation 10
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46.

Testing the Structural Interpretation of the Price Puzzle with a Cost‐Channel Model

Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 3, pp. 425-452, 2012
Number of pages: 28 Posted: 03 May 2012
Efrem Castelnuovo
University of Melbourne - Department of Economics
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47.

What Does a Monetary Policy Shock Do? An International Analysis with Multiple Filters

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 5, pp. 759-784, 2013
Number of pages: 26 Posted: 17 Aug 2013
Efrem Castelnuovo
University of Melbourne - Department of Economics
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