Are the effects of uncertainty shocks big or small?

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dc.catalogadorjlo
dc.contributor.authorAlessandri, Piergiorgio
dc.contributor.authorGazzani, Andrea
dc.contributor.authorVicondoa, Alejandro
dc.date.accessioned2024-01-19T15:29:24Z
dc.date.available2024-01-19T15:29:24Z
dc.date.issued2023
dc.description.abstractPrevious works have reached widely divergent conclusions on the macroeconomic relevance of uncertainty shocks. We show that this disagreement reflects identification problems linked to the use of financial data in low-frequency VAR models. To bypass this difficulty, we identify uncertainty shocks using daily data and use their monthly averages as instruments in VARs. This novel identification approach captures within-month interactions between uncertainty and asset prices, providing a full picture of the pivotal role of financial markets in propagating uncertainty to the real economy. Once these interactions are accounted for, the disagreement disappears: uncertainty shocks have a small but significant impact on economic activity across specifications and identification schemes.
dc.fechaingreso.objetodigital2024-10-18
dc.fuente.origenORCID-ene24
dc.identifier.doi10.1016/j.euroecorev.2023.104525
dc.identifier.issn0014-2921
dc.identifier.urihttps://doi.org/10.1016/j.euroecorev.2023.104525
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/80752
dc.information.autorucInstituto de Economía; Vicondoa Ramos, Alejandro Martín; 0000-0001-9088-3588; 1058805
dc.language.isoen
dc.nota.accesoContenido parcial
dc.pagina.final16
dc.pagina.inicio1
dc.revistaEuropean Economic Review
dc.rightsacceso restringido
dc.subjectUncertainty shocks
dc.subjectFinancial shocks
dc.subjectStructural vector autoregression
dc.subjectHigh-frequency identification
dc.subjectExternal instruments
dc.subject.ddc330
dc.subject.deweyEconomíaes_ES
dc.subject.ods08 Decent work and economic growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleAre the effects of uncertainty shocks big or small?
dc.typeartículo
dc.volumen158
sipa.codpersvinculados1058805
sipa.trazabilidadORCID;2024-01-08
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