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Song, Dongho; Tang, Jenny - 2018 - This version: January 2018

We embed a news shock, a noisy indicator of the future state, in a two-state Markovswitching growth model. Our … historical periods in which uncertainty and risk premia were elevated because of news shocks. …

Persistent link: https://www.econbiz.de/10011894302

News and uncertainty shocks

Cascaldi-Garcia, Danilo; Galvão, Ana Beatriz C. - 2018

We provide novel evidence that technological news and uncertainty shocks, identified one at a time using VAR models as in the literature, are correlated; that is, they are not truly structural. We then proceed by proposing an identification scheme to disentangle the effects of news and financial...

Persistent link: https://www.econbiz.de/10011967370

Perceived uncertainty shocks, excess optimism-pessimism, and learning in the business cycle

Chatterjee, Pratiti; Milani, Fabio - 2020

What are the effects of beliefs, sentiment, and uncertainty, over the business cycle? To answer this question, we develop a behavioral New Keynesian macroeconomic model, in which we relax the assumption of rational expectations. Agents are, instead, boundedly rational: they have a...

Persistent link: https://www.econbiz.de/10012294890

The role of economic policy uncertainty in predicting U.S. recessions : a mixed-frequency Markov-switching vector autoregressive approach

Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016

This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MSVAR) model, and compare its in-sample and...

Persistent link: https://www.econbiz.de/10011443536

The role of economic policy uncertainty in predicting U.S. recessions : a mixed-frequency Markov-switching vector autoregressive approach

Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016

Persistent link: https://www.econbiz.de/10011554324

Macroeconomic Transmission of (Un-)Predictable Uncertainty Shocks

Rogers, John H. - 2021

We document significant upward bias in estimates of the transmission of uncertainty shocks to real activity found in prominent studies of uncertainty's macroeconomic transmission. We show this bias is due to predictability in these uncertainty shocks. The predictability stems not from the use of...

Persistent link: https://www.econbiz.de/10013215412

Macroeconomic Transmission of (Un-)Predictable Uncertainty Shocks

Ferrer, Jose; Rogers, John; Xu, Jiawen - 2021

Persistent link: https://www.econbiz.de/10013215580

Measuring macroeconomic uncertainty : a cross-country analysis

Dibiasi, Andreas; Sarferaz, Samad - 2020

This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to quarterly post-WWII real-time data, we estimate macroeconomic...

Persistent link: https://www.econbiz.de/10012228723

Why does the yield-curve slope predict recessions?

Benzoni, Luca; Chyruk, Olena; Kelley, David - 2018

the yield curve slope into its expectations and risk premia components helps disentangle the channels that connect … in the probability of a future recession within the next year. In contrast, a decrease in risk premia is associated with … inflation risk premium slope has been accompanied by a heightened risk of recession, while a lower real-rate risk premium slope …

Persistent link: https://www.econbiz.de/10011924714

Macroeconomic uncertainty and forecasting macroeconomic aggregates

Reif, Magnus - 2018

Can information on macroeconomic uncertainty improve the forecast accuracy for key macroeconomic time series for the US? Since previous studies have demonstrated that the link between the real economy and uncertainty is subject to nonlinearities, I assess the predictive power of macroeconomic...

Persistent link: https://www.econbiz.de/10011918367