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 real effects of uncertainty shocks by Bloom (2009, https://doi.org/10.3982/ECTA6248). We replicate results in a narrow sense using EViews. In wide sense, we extend his study working with smooth transition VAR framework that allows for business cycle-dependent macroeconomic responses to an shock. find significantly stronger response activity recessions. Counterfactual simulations point greater effectiveness systematic monetary policy stabilizing expansions.