Arbeitspapier
Characterizing very high uncertainty episodes
This paper uses a two-step approach to characterize the evolution of US macroeconomic and financial variables during episodes of very high uncertainty. First, we identify episodes of very high uncertainty using a regime-switching model. Second, we assess the behaviour of macroeconomic and financial variables during these episodes of very high uncertainty. This methodology is analogous to the approach followed by Baele et al. (2013), who study episodes of flights to safety in financial markets. We find that very high uncertainty episodes are associated with a weaker growth performance and sharp declines in stock prices. However, we find that this relation is non-linear in that uncertainty does not seem to matter during periods characterized by medium or low uncertainty.
- Language
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Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 1637
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
Information, Knowledge, and Uncertainty: General
Business Fluctuations; Cycles
General Outlook and Conditions
- Subject
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Markov-switching
survey data
uncertainty
- Event
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Geistige Schöpfung
- (who)
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Bijsterbosch, Martin
Guérin, Pierre
- Event
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Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
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Frankfurt a. M.
- (when)
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2014
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bijsterbosch, Martin
- Guérin, Pierre
- European Central Bank (ECB)
Time of origin
- 2014
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