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Caggiano, Giovanni; Castelnuovo, Efrem - 2021

We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-specific factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set-identification via a combination of...

Persistent link: https://www.econbiz.de/10013241449

Endogenous Uncertainty

Carriero, Andrea - 2018

We show that macroeconomic uncertainty can be considered as exogenous when assessing its effects on the U.S. economy. Instead, financial uncertainty can at least in part arise as an endogenous response to some macroeconomic developments, and overlooking this channel leads to distortions in the...

Persistent link: https://www.econbiz.de/10012923342

Global Uncertainty

Caggiano, Giovanni; Castelnuovo, Efrem - 2021

Persistent link: https://www.econbiz.de/10013246469

Global Uncertainty

Caggiano, Giovanni; Castelnuovo, Efrem - 2021

Persistent link: https://www.econbiz.de/10013246886

Initial beliefs uncertainty

Galimberti, Jaqueson K - 2021

This paper evaluates how initial beliefs uncertainty can affect data weighting and the estimation of models with adaptive learning. One key finding is that misspecification of initial beliefs uncertainty, particularly with the common approach of artificially inflating initials uncertainty to...

Persistent link: https://www.econbiz.de/10013217420

The impact of uncertainty on macro variables : an SVAR-based empirical analysis for EU countries

Belke, Ansgar; Kronen, Dominik - 2017

In light of the rising political and economic uncertainty in Europe, we aim to provide a basic understanding of the impact of economic policy uncertainty and financial market uncertainty on a set of macroeconomic variables such as production, consumption and investment. In this paper, we apply a...

Persistent link: https://www.econbiz.de/10011662699

Ambiguity and time-varying risk aversion in sovereign debt markets

Große Steffen, Christoph; Podstawski, Maximilian - 2016

This paper introduces changes in the level of ambiguity as a complementary source of time-varying risk aversion. We … ambiguity raises investors' risk aversion. The effect is quantified in an application to European sovereign debt markets using a … decompose empirically credit default swaps (CDS) for Spain and Italy into three shocks: fundamental default risk, risk aversion …

Persistent link: https://www.econbiz.de/10011518808

The impact of uncertainty on macro variables : an SVAR-based empirical analysis for EU countries

Belke, Ansgar; Kronen, Dominik - 2017

Persistent link: https://www.econbiz.de/10011761787

Price Discovery Under Model Uncertainty

Kim, Jaeho; Linn, Scott C. - 2022

In this study, we empirically investigate whether or not the conventional belief that new information about fundamental value is revealed in the futures market ahead of the spot market is applicable to four important storable energy commodities, oil, gasoline, heating oil and natural gas. Taking...

Persistent link: https://www.econbiz.de/10013296725

Sovereign Uncertainty

Silgado-Gómez, Edgar - 2020

This paper investigates the transmission of uncertainty about the state of government finances on economic activity. I first employ a data-rich approach to extract a novel proxy that captures uncertainty surrounding the public finances of the Spanish economy, to which I refer as sovereign...

Persistent link: https://www.econbiz.de/10012846834