Arbeitspapier
Uncertainty Across Volatility Regimes
We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in the empirical literature on uncertainty: (i) Does the relationship between uncertainty and economic activity change across macroeconomic regimes? (ii) Is uncertainty a major cause or effect (or both) of decline in economic activity? Empirical results based on a small-scale VAR with US monthly data for the period 1960-2015 suggest that (i) the effects of uncertainty shocks are regime-dependent, and (ii) uncertainty is an exogenous source of decline of economic activity, rather than an endogenous response to it.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 6799
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Financial Markets and the Macroeconomy
Financial Crises
- Thema
-
heteroscedasticity
identification
non-recursive SVAR
uncertainty shocks
volatility regime
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Angelini, Giovanni
Bacchiocchi, Emanuele
Caggiano, Giovanni
Fanelli, Luca
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Angelini, Giovanni
- Bacchiocchi, Emanuele
- Caggiano, Giovanni
- Fanelli, Luca
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2017
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