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

  • University of Melbourne - Department of Economics

  • University of Padova - Department of Economics

SCHOLARLY PAPERS

48

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5,548

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549

CROSSREF CITATIONS

293

Scholarly Papers (48)

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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
Efrem Castelnuovo, Sergio Nicoletti Altimari and Diego Rodriguez-Palenzuela
University of Melbourne - Department of Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 853 (33,305)
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
Marzio Galeotti, Efrem Castelnuovo, Gretel Gambarelli and Sergio Vergalli
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 337 (106,761)
Citation 1

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Climate Policy, Environmental Modeling, Integrated Assessment, Technical Change

3.

Uncertainty and Monetary Policy in Good and Bad Times

Downloads 298 (121,931)
Citation 39

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 199 (181,415)
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 99 (317,026)
Citation 51

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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

4.

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 279 (130,690)
Citation 1

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Climate change, endogenous technical change, uncertainty

5.

Economic Policy Uncertainty Spillovers in Booms and Busts

Downloads 245 (149,074)
Citation 21

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 195 (184,824)
Citation 15

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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 28 (574,735)
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 Padova - Department of Economics and Management
Downloads 22 (616,214)
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 5
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6.

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 223 (163,319)
Citation 12

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stock prices, monetary policy, Bayesian estimation, wealth effects

7.

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 223 (164,002)
Citation 22

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

8.

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 217 (167,438)

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

9.

The Global Effects of Covid-19-induced Uncertainty

Downloads 213 (170,406)
Citation 7

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 123 (271,929)
Citation 3

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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 57 (436,356)
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 33 (545,102)
Citation 2

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

10.

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

Downloads 204 (177,476)
Citation 13

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 193 (186,585)

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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 (700,727)
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11.

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 196 (184,135)

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

12.

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 184 (194,843)
Citation 6

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Climate policy, environmental modelling, integrated

13.

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 165 (215,116)
Citation 22

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

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 147 (235,617)

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

15.

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

Downloads 142 (242,355)
Citation 19

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 98 (319,136)
Citation 20

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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 44 (489,753)

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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 128 (262,738)
Citation 2

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

17.

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

Downloads 121 (274,065)
Citation 44

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 80 (362,769)

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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 41 (503,822)
Citation 34

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

18.

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

Downloads 109 (295,114)
Citation 54

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 54 (447,719)

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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 (518,478)
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 (653,317)
Citation 39

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

19.

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

Downloads 105 (302,815)

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 57 (436,356)

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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 47 (476,254)

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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 (792,858)
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20.

Yield Curve and Financial Uncertainty: Evidence Based on Us Data

Downloads 99 (314,856)
Citation 2

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 (362,769)
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 19 (638,242)
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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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 90 (334,615)
Citation 46

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

22.

Domestic and Global Uncertainty: A Survey and Some New Results

Downloads 89 (336,889)
Citation 15

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 39 (513,549)

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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 35 (533,945)
Citation 9

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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 15 (668,777)
Citation 7

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

23.

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 79 (361,881)
Citation 7

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

24.

Global Uncertainty

Downloads 76 (370,033)
Citation 2

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 49 (467,695)

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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 17 (653,317)
Citation 2

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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 10 (708,638)

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25.

Estimating Fiscal Multipliers: News from a Nonlinear World

Melbourne Institute Working Paper No. 26/14
Number of pages: 71 Posted: 20 Dec 2014
Giovanni Caggiano, Efrem Castelnuovo, Gabriela Nodari and Valentina Colombo
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 74 (375,701)
Citation 14

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

26.

Uncertainty and Monetary Policy During Extreme Events

Downloads 68 (393,407)
Citation 2

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 53 (451,624)
Citation 3

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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 15 (668,777)

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

27.

Liquidity Traps and Large-Scale Financial Crises

Melbourne Institute Working Paper No. 32/16
Number of pages: 61 Posted: 13 Oct 2016
Giovanni Caggiano, Efrem Castelnuovo, Olivier Damette, Antoine Parent and Giovanni Pellegrino
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 (412,670)

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

28.

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

Downloads 53 (444,327)
Citation 5

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 27 (581,156)

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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 26 (587,986)
Citation 5

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

29.

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 49 (459,560)
Citation 21

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cost channel, inflation dynamics, price puzzle, trend inflation

30.

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

Downloads 46 (471,891)
Citation 23

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 31 (556,398)
Citation 23

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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 (668,777)

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

31.

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 46 (471,891)
Citation 5

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

32.

Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?

Downloads 35 (521,634)
Citation 2

Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?

Quaderni - Working Paper DSE N° 1151, 2020
Number of pages: 47 Posted: 12 Aug 2020
Giovanni Angelini, Giovanni Caggiano, Efrem Castelnuovo and Luca Fanelli
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 (708,638)

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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
Giovanni Angelini, Giovanni Caggiano, Efrem Castelnuovo and Luca Fanelli
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 9 (716,785)

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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
Giovanni Angelini, Giovanni Caggiano, Efrem Castelnuovo and Luca Fanelli
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 9 (716,785)
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
Giovanni Angelini, Giovanni Caggiano, Efrem Castelnuovo and Luca Fanelli
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 7 (732,849)

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33.

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 32 (537,170)
Citation 5

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

34.

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 31 (542,414)
Citation 3

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

35.

Risk Management-Driven Policy Rate Gap

Downloads 30 (547,811)
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 (700,727)

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

36.

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

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Citation 3

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
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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
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Citation 3

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trend inflation, determinacy, monetary policy

37.

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

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Citation 3

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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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
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Citation 2

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

38.

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 27 (565,053)
Citation 1

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trend inflation, determinacy, monetary policy

39.

Liquidity Traps and Large-Scale Financial Crisis

CESifo Working Paper Series No. 7096
Number of pages: 57 Posted: 24 Jul 2018
Giovanni Caggiano, Efrem Castelnuovo, Olivier Damette, Antoine Parent and Giovanni Pellegrino
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
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Keynesian liquidity trap, Threshold-VAR, monetary and financial cliometrics, Great Depression, Great Recession

40.

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
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41.

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
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Citation 3
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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.

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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Citation 1

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Monetary policy shocks, Cholesky identification, VARs, Dynamic Stochastic General Equilibrium models, Monte Carlo simulations

44.

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
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45.

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 4
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46.

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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47.

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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48.

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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