[Forum SIS] UNIBO Statistics Seminar

[Silvia Cagnone]

We are glad to announce the following  Statistics Seminar:



Tuesday, June 20, 2.15 pm


Room III, via delle Belle Arti 41, Bologna


Giovanni Caggiano (Monash University)


Time-Dependent Finance-Uncertainty Multiplier


Abstract: This paper estimates time-dependent finance-uncertainty multipliers in the post-WWII U.S. sample. We model a number of macroeconomic indicators with a time varying coefficient-VAR along with measures of financial uncertainty and credit spreads. Uncertainty shocks are identified by relying on the measure of financial uncertainty recently constructed by Ludvigson et al. (2016). Gilchrist and Zakrajšseks (2012) credit spread measure is decomposed in two orthogonal components - the exogenous excess bond premium and the endogenous part of the spread - to control for credit supply shocks while considering the amplification effect due to financial frictions following an uncertainty shock. Our results point to substantial variations in the finance-uncertainty multipliers over the investigated period.
(joint with Efrem Castelnuovo, Silvia Delrio, and Tim Robinson).




Contact person: Luca Fanelli


The schedule of the statistics seminars are available at http://www.stat.unibo.it/it/dipartimento/seminari-di-statistica-2017


Silvia Cagnone
Department of Statistical Sciences "Paolo Fortunati"
University of Bologna
Via delle Belle Arti 41 - 40126  Bologna,  ITALY
Tel: +39 051 2098213  Fax: +39 051 232153
http://www2.stat.unibo.it/cagnone/

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