Giovanni Caggiano
Biographic Data
| ID | 1196573 |
|---|---|
| NAME | Giovanni Caggiano |
| GIVEN NAMES | Giovanni |
| FAMILY NAME | Caggiano |
| SIGNATURE | CAGGIANO G |
| AFFILIATIONS | University of Glasgow |
| ORCID | 0000-0003-2054-3304 |
| VERIFIED | Yes |
| TOTAL WORKS | 5 |
| TOTAL CITATIONS | 11 |
| AUTHOR COUNT | 5 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2007 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 2 |
Global financial uncertainty
We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country‐specific factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set identification via a combination of narrative, sign, ratio, and correlation restrictions. We find that the contraction in world output during the Great Recession would have been 13% milder in …
Are Fiscal Multipliers Estimated with Proxy‐SVARs Robust
We estimate government spending and tax multipliers in the United States via a flexible proxy‐SVAR model, where identification is achieved by combining fiscal and non‐fiscal instruments with additional parametric restrictions. We find that, while the spending multiplier is robustly estimated to be larger than one across different models, the estimate of the tax multiplier is sensitive to the combination of instruments that we use. We unveil that …
Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009)
This paper revisits the well‐known vector autoregressive (VAR) evidence on the real effects of uncertainty shocks by Bloom (2009, https://doi.org/10.3982/ECTA6248 ). We replicate the results in a narrow sense using EViews. In a wide sense, we extend his study by working with a smooth transition VAR framework that allows for business cycle‐dependent macroeconomic responses to an uncertainty shock. We find a significantly stronger response of real …
Estimating Fiscal Multipliers: News from a Non‐linear World
We estimate non-linear VARs to assess to what extent fiscal spending multipliers are countercyclical in the US. We deal with the issue of non-fundamentalness due to fiscal foresight by appealing to sums of revisions of expectations of fiscal expenditures. This measure of anticipated fiscal shocks is shown to carry valuable information about future dynamics of public spending. Results based on generalised impulse responses suggest that fiscal spen…
Globalization, Immigration, and Lewisian Elastic Labor in Pre-World War II Southeast Asia
Between 1880 and 1939 Burma, Malaya, and Thailand received inflows of migrants from India and China comparable in size to European immigration in the New World. This article examines the forces that lay behind migration to Southeast Asia and asks if experience there bears out Lewis's unlimited labor supply hypothesis. We find that it does and, furthermore, that immigration created a highly integrated labor market stretching from South India to So…
Estimating Fiscal Multipliers: News from a Non‐linear World
We estimate non-linear VARs to assess to what extent fiscal spending multipliers are countercyclical in the US. We deal with the issue of non-fundamentalness due to fiscal foresight by appealing to sums of revisions of expectations of fiscal expenditures. This measure of anticipated fiscal shocks is shown to carry valuable information about future dynamics of public spending. Results based on generalised impulse responses suggest that fiscal spen…
Globalization, Immigration, and Lewisian Elastic Labor in Pre-World War II Southeast Asia
Between 1880 and 1939 Burma, Malaya, and Thailand received inflows of migrants from India and China comparable in size to European immigration in the New World. This article examines the forces that lay behind migration to Southeast Asia and asks if experience there bears out Lewis's unlimited labor supply hypothesis. We find that it does and, furthermore, that immigration created a highly integrated labor market stretching from South India to So…
Globalization, Immigration, and Lewisian Elastic Labor in Pre-World War II Southeast Asia
Between 1880 and 1939 Burma, Malaya, and Thailand received inflows of migrants from India and China comparable in size to European immigration in the New World. This article examines the forces that lay behind migration to Southeast Asia and asks if experience there bears out Lewis's unlimited labor supply hypothesis. We find that it does and, furthermore, that immigration created a highly integrated labor market stretching from South India to So…
Estimating Fiscal Multipliers: News from a Non‐linear World
We estimate non-linear VARs to assess to what extent fiscal spending multipliers are countercyclical in the US. We deal with the issue of non-fundamentalness due to fiscal foresight by appealing to sums of revisions of expectations of fiscal expenditures. This measure of anticipated fiscal shocks is shown to carry valuable information about future dynamics of public spending. Results based on generalised impulse responses suggest that fiscal spen…
Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009)
This paper revisits the well‐known vector autoregressive (VAR) evidence on the real effects of uncertainty shocks by Bloom (2009, https://doi.org/10.3982/ECTA6248 ). We replicate the results in a narrow sense using EViews. In a wide sense, we extend his study by working with a smooth transition VAR framework that allows for business cycle‐dependent macroeconomic responses to an uncertainty shock. We find a significantly stronger response of real …
Global financial uncertainty
We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country‐specific factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set identification via a combination of narrative, sign, ratio, and correlation restrictions. We find that the contraction in world output during the Great Recession would have been 13% milder in …
Are Fiscal Multipliers Estimated with Proxy‐SVARs Robust
We estimate government spending and tax multipliers in the United States via a flexible proxy‐SVAR model, where identification is achieved by combining fiscal and non‐fiscal instruments with additional parametric restrictions. We find that, while the spending multiplier is robustly estimated to be larger than one across different models, the estimate of the tax multiplier is sensitive to the combination of instruments that we use. We unveil that …
Economics (5 works) · Econometrics (4 works) · Monetary Policy and Economic Impact (4 works) · Keynesian economics (3 works) · Macroeconomics (3 works) · Energy, Environment, Economic Growth (2 works) · Fiscal Policies and Political Economy (2 works) · Fiscal Policy and Economic Growth (2 works) · Market Dynamics and Volatility (2 works) · Mathematics (2 works)