Giovanni Caggiano

Department of Economics, Monash University

900 Dandenong Road

Caulfield East, Victoria 3145

Australia

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

University of Padua

Via 8 Febbraio, 2

Padova, Vicenza 35122

Italy

SCHOLARLY PAPERS

22

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1,902

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Top 1,873

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505

CROSSREF CITATIONS

196

Scholarly Papers (22)

1.
Downloads 310 (120,934)
Citation 40

Uncertainty and Monetary Policy in Good and Bad Times

Bank of Finland Research Discussion Paper No. 8/2017
Number of pages: 63 Posted: 05 May 2017 Last Revised: 06 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 209 (179,099)
Citation 4

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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 101 (322,530)
Citation 53

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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 198 (188,374)
Citation 17

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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 28 (592,038)
Citation 2

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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 22 (634,744)
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 Padua - Department of Economics and Management
Downloads 1 (814,463)
Citation 5
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3.
Downloads 220 (170,781)
Citation 9

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 128 (272,129)
Citation 4

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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 58 (445,649)
Citation 3

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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 34 (555,615)
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 Padua - Department of Economics and Management
Downloads 80 (373,926)

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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 47 (490,389)
Citation 37

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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 56 (453,376)

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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 38 (533,875)
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 (672,966)
Citation 41

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

6.
Downloads 92 (340,018)
Citation 7

Global Uncertainty

CESifo Working Paper No. 8885
Number of pages: 60 Posted: 19 Feb 2021
Giovanni Caggiano and Efrem Castelnuovo
Department of Economics, Monash University and University of Melbourne - Department of Economics
Downloads 55 (457,282)

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Global uncertainty

CAMA Working Paper No. 21/2021
Number of pages: 59 Posted: 16 Feb 2021
Giovanni Caggiano and Efrem Castelnuovo
Department of Economics, Monash University and University of Melbourne - Department of Economics
Downloads 25 (612,651)
Citation 7

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Global Financial Uncertainty, dynamic hierarchical factor model, structural VAR, world output loss, global finance uncertainty multiplier.

Global Uncertainty

Bank of Finland Research Discussion Paper No. 1/2021
Number of pages: 60 Posted: 16 Feb 2021
Giovanni Caggiano and Efrem Castelnuovo
Department of Economics, Monash University and University of Melbourne - Department of Economics
Downloads 12 (713,720)

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7.

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 92 (340,018)
Citation 48

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

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 70 (403,822)
Citation 4

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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 17 (672,966)

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

9.

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 77 (378,450)
Citation 14

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

10.
Downloads 70 (399,013)
Citation 39

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 41 (518,630)
Citation 32

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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 (585,428)

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

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 35 (549,979)
Citation 7

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

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 28 (592,038)

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12.

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 62 (424,992)

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

13.

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 54 (453,795)
Citation 1

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Factors, Large Datasets, Forecast Combinations

14.

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 50 (469,328)

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15.

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 48 (477,336)
Citation 6

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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 13 (705,276)

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

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 11 (722,129)

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

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 10 (730,463)
Citation 2

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Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?

Bank of Finland Research Discussion Paper No. 13/2020
Number of pages: 45 Posted: 14 Jan 2021
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 10 (730,463)

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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 24 (619,933)
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: 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 17 (672,966)
Citation 2

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uncertainty shocks, nonlinear smooth transition Vector AutoRegressions, generalized impulse response functions, systematic monetary policy

18.

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 40 (512,801)

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

19.
Downloads 30 (564,248)
Citation 10

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 (722,129)

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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 11 (722,129)
Citation 8

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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 8 (747,332)

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

20.

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 23 (608,286)

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

21.

Uncertainty and Monetary Policy During the Great Recession

CESifo Working Paper No. 8985
Number of pages: 77 Posted: 06 Apr 2021
Giovanni Pellegrino, Efrem Castelnuovo and Giovanni Caggiano
Aarhus University, University of Melbourne - Department of Economics and Department of Economics, Monash University
Downloads 12 (687,220)

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22.

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 (795,478)
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