Publications

• Andreasen, M., G. Caggiano, E. Castelnuovo, and G. Pellegrino 2024, Does Risk Matter More in Recessions than in Expansions? Implications for Monetary Policy, Journal of Monetary Economics, 143, 103533. Appendix here. Dummy to proxy financial uncertainty shocks here. 

• Caggiano, G., and E. Castelnuovo, 2023, Global Financial Uncertainty, Journal of Applied Econometrics, 38(3), 432-449. Appendix here. Dataset here. Estimated factors here. 

• Angelini, G., G. Caggiano, E. Castelnuovo, and L. Fanelli, 2023, Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?, Oxford Bulletin of Economics and Statistics, 85(1), 95-122. Appendix here. Bank of Finland Discussion Paper here. 

• Pellegrino, G., E. Castelnuovo, and G. Caggiano, 2023, Uncertainty and Monetary Policy During the Great Recession, International Economic Review, 64(2), 577-606. Appendix here. [Note: The ordering of the authors' names reflects the relative contributions to this project - in particular Pellegrino's lion's share.]

• Castelnuovo, E., 2023, Uncertainty Before and During COVID-19: A Survey, Journal of Economic Surveys, 37(3), 821-864. (Supersedes Domestic and Global Uncertainty: A Survey and Some New Results.)

• Caggiano, G., E. Castelnuovo, and G. Nodari, 2022, Uncertainty and monetary policy in good and bad times: A Replication of the VAR investigation by Bloom (2009), Journal of Applied Econometrics, 37, 210-217. Working Paper version here. Appendix here.

• Caggiano, G., E. Castelnuovo, S. Delrio, and R. Kima, 2021, Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly, European Economic Review, 136, 103750. Appendix here. Previous version: CAMA Working Paper here.   

• Caggiano, G., E. Castelnuovo, and G. Pellegrino, 2021, Uncertainty Shocks and the Great Recession: Nonlinearities Matter, Economics Letters, 198, 109669.

• Caggiano, G., E. Castelnuovo, and R. Kima, 2020, The global effects of Covid-19-induced uncertainty, Economics Letters, 194, 109392. CESifo Working Paper here.

• Caggiano, G., E. Castelnuovo, and J.M. Figueres, 2020, Economic Policy Uncertainty Spillovers in Booms and Busts, Oxford Bulletin of Economics and Statistics, 82(1), 125-155.

• Arias, E. J., Ascari, G., N. Branzoli, and E. Castelnuovo, 2020, Positive Trend Inflation and Determinacy in a Medium-Sized New-Keynesian Model, International Journal of Central Banking, 16(3), 51-94. Federal Reserve Bank of Philadelphia Working Paper here.

• Caggiano, G., E. Castelnuovo, and G. Nodari, 2018, Risk Management-Driven Policy Rate Gap, Economics Letters, 171, 235-238. Appendix here. Policy Rate Gap series here.

• Castelnuovo, E., and G. Pellegrino, 2018, Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation, Journal of Economic Dynamics and Control, forthcoming. Appendix here. CESifo Working Paper here. Melbourne Institute Working Paper here.

• Castelnuovo, E., and T.D. Tran, 2017, Google it up! A Google Trends-based Uncertainty Index for the United States and Australia, Economics Letters, 161, 149-153. Appendix here. Google Trends Uncertainty (GTU) indices here. Melbourne Institute Working Paper here. CESifo Working Paper here.

• Caggiano, G., E. Castelnuovo, and G. Pellegrino, 2017, Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound, European Economic Review, 100, 257-272. Appendix here. Melbourne Institute Working Paper here. CESifo Working Paper here. Replication files here. This is one of the 50 papers selected out of those published in the 1970-2020 period for the special issue "Celebrating 50 Years of the European Economic Review".

• Caggiano, G., E. Castelnuovo, O. Damette, A. Parent, and G. Pellegrino, 2017, Liquidity Traps and Large-Scale Financial Crises, Journal of Economic Dynamics and Control, 81, 99-114. Melbourne Institute Working Paper here. Appendix here. CESifo Working Paper here.

• Caggiano, G., E. Castelnuovo, and J.M. Figueres, 2017, Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach, Economics Letters, 151, 31-34. Appendix here. Melbourne Institute Working Paper here. Replication codes here.

• Bacchiocchi, E., E. Castelnuovo, and L. Fanelli, 2016, Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S., Macroeconomic Dynamics, forthcoming. 

• Castelnuovo, E., 2016, Modest Macroeconomic Effects of Monetary Policy Shocks During the Great Moderation: An Alternative Interpretation, Journal of Macroeconomics, 47, 300-314. Appendix here. 

• Castelnuovo, E., 2016, Monetary Policy Shocks and Cholesky-VARs: An Assessment for the Euro Area, Empirical Economics, 50(2), 383-414. Appendix here.

• Caggiano, G., E. Castelnuovo, V., Colombo, and G. Nodari, 2015, Estimating Fiscal Multipliers: News from a Nonlinear World, Economic Journal, 125(584), 746–776. Appendix here. Media: The Conversation 1, Royal Economic Society Media Briefings, voxeu.org, The Conversation 2.

• Castelnuovo, E., and L. Fanelli, 2015, Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from a Robust Test,Journal of Applied Econometrics, 30(6), 924-947. Working paper version (with Technical Supplement) here.

• Caggiano, G., E., Castelnuovo, and N. Groshenny, 2014, Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions, Journal of Monetary Economics, 67, 78-92. Working paper version (with Appendix) here. Media: lavoce.info, The Conversation.

• Castelnuovo, E., L. Greco, and D. Raggi, 2014, Policy Rules, Regime Switches, and Trend Inflation: An Empirical Investigation for the U.S., Macroeconomic Dynamics, 18, 920-942.

• Castelnuovo, E., 2013, Monetary Policy Shocks and Financial Conditions: A Monte Carlo Experiment, Journal of International Money and Finance, 32, 282-303.

• Castelnuovo, E., 2013, What does a monetary policy shock do? An international analysis with multiple filters, Oxford Bulletin of Economics and Statistics, 75(5), 759–784.

• Castelnuovo, E., 2012, Fitting U.S. Trend Inflation: A Rolling-Window Approach, in Nathan Balke, Fabio Canova, Fabio Milani, and Mark Wynne (eds.): Advances in Econometrics: DSGE Models in Macroeconomics - Estimation, Evaluation, and New Developments, 28, 201-252.

• Castelnuovo, E., 2012, Estimating the Evolution of Money's Role in the U.S. Monetary Business Cycle, Journal of Money, Credit and Banking, 44(1), 23-52. [see also the "Erratum" published in JMCB, 44(4), 751-755.]

• Castelnuovo, E., 2012, Policy Switch and the Great Moderation: The Role of Equilibrium Selection, Macroeconomic Dynamics, 16(3), 449–471. 

• Castelnuovo, E., 2012, Testing the Structural Interpretation of the Price Puzzle with a Cost Channel Model, Oxford Bulletin of Economics and Statistics, 74(3), 425-452.

• Ascari, G., E. Castelnuovo, and L. Rossi, 2011, Calvo vs. Rotemberg in a Trend Inflation World: An Empirical Investigation, Journal of Economic Dynamics and Control, 35(11), 1852-1867.

• Caggiano, G., and E. Castelnuovo, 2011, On the Dynamics of International Inflation, Economics Letters, 112(2), 189-191.

• Castelnuovo, E., and P. Surico, 2010, Monetary Policy, Inflation Expectations and the Price Puzzle, Economic Journal, 120(549), 1262-1283. Replication files (simulations of NK model under determinacy/indeterminacy) here. Data here.

• Castelnuovo, E., and S. Nisticò, 2010, Stock Market Conditions and Monetary Policy in a DSGE Model for the U.S., Journal of Economic Dynamics and Control, 34(9), 1700-1731.

• Castelnuovo, E., 2010, Tracking U.S. Inflation Expectations with Domestic and Global Determinants, Journal of International Money and Finance, 29(7), 1340-1356.

• Castelnuovo, E., 2010, Trend Inflation and Macroeconomic Volatilities in the post-WWII U.S. Economy, North American Journal of Economics and Finance, 21(1), 19-33.

• Castelnuovo, E., 2008, Regime Shifts and the Stability of Backward Looking Phillips Curves in Open Economies, Journal of International Money and Finance, 27(1), 40-53, February.

• Castelnuovo, E., 2007, Taylor Rules and Interest Rate Smoothing in the Euro Area, The Manchester School, 75(1), 1-16, January.

• Castelnuovo, E., 2006, The Fed's Preference of Policy Rate Smoothing: Overestimation due to Misspecification, The B.E. Journal of Macroeconomics (Topics), Volume 6: No. 2, Article 5.

• Castelnuovo, E., and P. Surico, 2004, Model Uncertainty, Optimal Monetary Policy and the Preferences of the Fed, Scottish Journal of Political Economy, 51(1), 105-126, February. [Paper awarded the Scottish Economics Society's Sir Alex Cairncross Prize 2002.]

• Castelnuovo, E., 2003, Taylor Rules, Omitted Variables, and Interest Rate Smoothing in the US, Economics Letters, 81(1), 55-59, October.

• Castelnuovo, E., and P. Surico, 2003, What does monetary policy reveal about a central bank's preferences?, Economic Notes, 32(3), 335-259, November.

• Castelnuovo, E., S. Nicoletti Altimari, and D. Rodrìguez-Palenzuela, 2003, Definition of price stability, range and point inflation targets: The anchoring of long-term inflation expectations, in O. Issing (ed.): Background Studies for the ECB's Evaluation of its Monetary Policy Strategy, European Central Bank Publisher, 43-90, November.

        OTHER PUBLICATIONS

• Castelnuovo, E., 2019, Yield Curve and Financial Uncertainty: Evidence Based on US Data, Australian Economic Review, forthcoming. Melbourne Institute Working Paper here.

• Castelnuovo, E., and G. Lim, 2019, What do we know about the macroeconomic effects of fiscal policy? A brief survey of the literature on fiscal multipliers, Australian Economic Review, 52(1), 79-93.

• Castelnuovo, E., 2018, Introduction to the Policy Forum: Macroeconomic Policies after the Global Financial Crisis, Australian Economic Review, 51(1), 68-69.

• Castelnuovo, E., G. Lim, and Giovanni Pellegrino, 2018, Macroeconomic Policies in a Low Interest Rate Environment: Back to Keynes?, Australian Economic Review, 51(1), 70-86.

• Castelnuovo, E., 2017, Introduction to the Policy Forum: On the Macroeconomic Effects and Policy Implication of Uncertainty, Australian Economic Review, 50(1), 66-67.

• Castelnuovo, E., G. Lim, and Giovanni Pellegrino, 2017, A Short Review of the Recent Literature on Uncertainty, Australian Economic Review, 50(1), 68-78.

• Castelnuovo, E., G. Lim, and T. Robinson, 2016, Introduction to the Policy Forum: Macroeconomic Consequences of Macroprudential Policies, Australian Economic Review, 49(1), 77-82.

• Castelnuovo, E., 2006, Describing the Fed's Conduct with Taylor Rules: Is Interest Rate Smoothing Important?, ICFAI Journal of Monetary Economics, IV(3), 57-77, August.

• Castelnuovo, E., M. Galeotti, G. Gambarelli, and S. Vergalli, 2005, Learning by Doing vs. Learning by Searching in Models for Climate Change Analysis, Ecological Economics, 54(2/3), 261-276, August.

• Castelnuovo, E., M. Moretto, and S. Vergalli, 2003, Global Warming, Uncertainty and Endogenous Technical Change, Environmental Modeling and Assessment, 8(4), 291-301, December.

• Buonanno, P., C. Carraro, E. Castelnuovo, and M. Galeotti, 2001, Emission Trading Restrictions with Endogenous Technological Change, International Environmental Agreements: Politics, Law, and Economics, 1(3), 379-395, July.

• Buonanno, P.,  C. Carraro, E. Castelnuovo, and M. Galeotti, 2001, Efficiency and Equity of Emissions Trading with Endogenous Environmental Technical Change, in C. Carraro (ed.): Efficiency and Equity of Climate Change Policy, Kluwer Academic Publishers, 121-162.