Giovanni Caggiano

Department of Economics, Monash University

900 Dandenong Road

Caulfield East, Victoria 3145

Australia

http://https://sites.google.com/site/giovannicaggiano72/CV/home

University of Padua

Via 8 Febbraio, 2

Padova, Vicenza 35122

Italy

SCHOLARLY PAPERS

14

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1,032

SSRN CITATIONS
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Top 3,998

in Total Papers Citations

93

CROSSREF CITATIONS

166

Scholarly Papers (14)

1.
Downloads 223 (138,126)
Citation 25

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 138 (211,523)
Citation 1

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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 85 (299,198)
Citation 35

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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 Padua - Department of Economics and Management
Downloads 179 (169,404)
Citation 8

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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 Padua - Department of Economics and Management
Downloads 19 (551,256)

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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 Padua - Department of Economics and Management
Downloads 12 (598,240)
Citation 3

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

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 Padua - Department of Economics and Management
Downloads 65 (349,783)
Citation 1

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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 Padua - Department of Economics and Management
Downloads 19 (551,256)
Citation 6

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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 of Applied Economic and Social Research
Downloads 35 (459,248)

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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 of Applied Economic and Social Research
Downloads 32 (473,561)
Citation 2

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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 of Applied Economic and Social Research
Downloads 14 (584,392)
Citation 14

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

5.

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 73 (324,501)
Citation 17

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

6.

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 Padua - Department of Economics and Management
Downloads 69 (334,649)
Citation 5

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

7.
Downloads 61 (356,779)
Citation 2

Uncertainty Across Volatility Regimes

Bank of Finland Research Discussion Paper No. 35/2017
Number of pages: 78 Posted: 05 Dec 2017
University of Bologna - School of Economics, Management, and Statistics, Università degli Studi di Milano, Department of Economics, Monash University and Universita di Bologna
Downloads 34 (463,930)
Citation 1

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heteroskedasticity, identification, non-recursive SVAR, uncertainty shocks, volatility regime

Uncertainty Across Volatility Regimes

CESifo Working Paper Series No. 6799
Number of pages: 75 Posted: 16 Feb 2018
University of Bologna - School of Economics, Management, and Statistics, Università degli Studi di Milano, Department of Economics, Monash University and Universita di Bologna
Downloads 27 (500,604)

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heteroscedasticity, identification, non-recursive SVAR, uncertainty shocks, volatility regime

8.

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 of Applied Economic and Social Research
Downloads 54 (378,460)

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

9.

Are More Data Always Better for Factor Analysis' Results for the Euro Area, the Six Largest Euro Area Countries and the UK

ECB Working Paper No. 1051
Number of pages: 39 Posted: 13 May 2009
Giovanni Caggiano, George Kapetanios and Vincent Labhard
Department of Economics, Monash University, King's College, London and European Central Bank (ECB) - Directorate General Economics
Downloads 51 (388,259)
Citation 1

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Factors, Large Datasets, Forecast Combinations

10.

Nelson-Plosser Revisited: The ACF Approach

Number of pages: 31 Posted: 13 Jan 2012 Last Revised: 26 Feb 2012
Karim M. Abadir, Giovanni Caggiano and Gabriel Talmain
Imperial College Business School, Department of Economics, Monash University and University of York - Department of Economics and Related Studies
Downloads 42 (420,265)
Citation 3

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11.

Bank Competition, Financial Dependence, and Economic Growth in the Gulf Cooperation Council

World Bank Policy Research Working Paper No. 7687
Number of pages: 33 Posted: 19 Jul 2016
Giovanni Caggiano and Pietro Calice
Department of Economics, Monash University and World Bank
Downloads 36 (444,441)

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Debt Markets, Banks & Banking Reform, Access to Finance, Labor Policies, Emerging Markets

12.
Downloads 27 (486,578)
Citation 2

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 (605,190)

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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 (619,316)

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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 (633,583)

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

13.

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 of Applied Economic and Social Research
Downloads 20 (526,471)

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

14.

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 Padua - Department of Economics and Management and University of Verona - Department of Economics
Downloads 1 (656,991)
Citation 4
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