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 Padova

Via 8 Febbraio, 2

Padova, Vicenza 35122

Italy

SCHOLARLY PAPERS

21

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1,458

SSRN CITATIONS
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Top 2,378

in Total Papers Citations

318

CROSSREF CITATIONS

203

Scholarly Papers (21)

1.
Downloads 273 (125,184)
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 176 (190,267)
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 (302,663)
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 (175,195)
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 (590,468)
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 (604,926)
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
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Citation 2
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3.
Downloads 147 (221,538)
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 69 (372,494)

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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 47 (449,699)
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 (525,764)
Citation 2

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

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 (349,944)

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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 (549,693)
Citation 26

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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 49 (441,563)

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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 (494,508)
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 (619,394)
Citation 29

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

6.

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 (319,746)
Citation 31

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

7.

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 (357,110)
Citation 11

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

8.
Downloads 68 (371,096)
Citation 24

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 39 (484,907)
Citation 22

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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 29 (537,332)

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

9.

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 (405,692)

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

10.

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 53 (419,424)
Citation 1

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Factors, Large Datasets, Forecast Combinations

11.

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 44 (453,584)
Citation 5

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12.

Sectoral Employment Dynamics in Australia

CAMA Working Paper No. 51/2020
Number of pages: 20 Posted: 15 May 2020
Monash University - Department of Economics, Department of Economics, Monash University, Monash University - Department of Econometrics and Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 38 (479,109)

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13.

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 38 (479,109)

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

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 (590,468)

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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 (626,681)
Citation 1

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

15.
Downloads 27 (534,518)
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 (665,191)

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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 (680,767)
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 (696,518)

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

16.

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 (571,654)

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

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 (688,649)

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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 (704,580)

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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 (704,580)

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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 (672,915)

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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 (696,518)

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

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
Downloads 9 (680,767)

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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
Downloads 7 (696,518)

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

20.

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
Downloads 1 (721,145)
Citation 10
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21.

Sectoral Employment Dynamics in Australia and the Covid‐19 Pandemic

Australian Economic Review, Vol. 53, Issue 3, pp. 402-414, 2020
Number of pages: 13 Posted: 06 Oct 2020
Monash University - Department of Economics, Department of Economics, Monash University, Monash University - Department of Econometrics and Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 0 (739,238)
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