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Uncertainty Shocks of Trump Election in an Interval Model of Stock Market

Sun, Yuying - 2018

strong evidence that theTrump election has increased the level/trend and lowered the volatility of S&P 500 index inboth ex …

Persistent link: https://www.econbiz.de/10012907882

Nonlinear effects of uncertainty shocks : state-dependency and asymmetry

Morita, Hiroshi; Yuasa, Shiro - 2022

Persistent link: https://www.econbiz.de/10013550316

Structural news shock, financial market uncertainty and China's business fluctuations

Ding, Yibing; Liu, Ziyu; Liu, Dayu - In: Pacific-Basin finance journal 76 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013552812

Time-Varying Effect of Uncertainty Shocks on Unemployment : A Note on Caggiano Castelnuovo and Groshenny (2014)

Eksi, Ozan - 2019

We employ a time-varying parameter VAR to examine the dynamic effect of uncertainty shocks on unemployment during different recessions. We find that the impact of uncertainty shocks during the Great Recession is significantly larger compared to previous recessions. Empirical studies should...

Persistent link: https://www.econbiz.de/10012894364

The Nonlinear Effects of Uncertainty Shocks

Jackson Young, Laura - 2019

We consider the effects of uncertainty shocks in a nonlinear VAR that allows uncertainty to have amplification effects. When uncertainty is relatively low, fluctuations in uncertainty have small, linear effects. In periods of high uncertainty, the effect of a further increase in uncertainty is...

Persistent link: https://www.econbiz.de/10012897315

Nonlinear Effects of Uncertainty Shocks : State-Dependency and Asymmetry

Morita, Hiroshi; Yuasa, Shiro - 2022

The nonlinear effects of uncertainty shocks on U.S. macroeconomic activity are examined using a smooth transition VAR model in which the dynamic relationship between the variables changes with the level of economic policy uncertainty. We find that the responses of the variables change with the...

Persistent link: https://www.econbiz.de/10014241699

The macroeconomic effects of uncertainty and risk aversion shocks

Berthold, Brendan - In: European economic review : EER 154 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014438440

Assessing cryptomarket risks: macroeconomic forces, market shocks and behavioural dynamics

Thelissaint, Josue - 2024

Persistent link: https://www.econbiz.de/10015191777

Financial regimes and uncertainty shocks

Alessandri, Piergiorgio; Mumtaz, Haroon - 2014

uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …

Persistent link: https://www.econbiz.de/10010472852

Common and country specific economic uncertainty

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

Persistent link: https://www.econbiz.de/10011306276