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Uncertainty shocks and unemployment dynamics in U.S. recessions

✍ Scribed by Caggiano, Giovanni; Castelnuovo, Efrem; Groshenny, Nicolas


Book ID
126733854
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
658 KB
Volume
67
Category
Article
ISSN
0304-3932

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## Abstract This paper studies the joint dynamics of U.S. output and unemployment rate in a non‐linear VAR model. The non‐linearity is introduced through a feedback variable that endogenously augments the output lags of the VAR in recessionary phases. Sufficient conditions for the ergodicity of the