This paper considers the macroeconomic effects of shocks with different persistence properties identified from surveys of expectations. Using a GARCH-in-Mean model for the US, we present persistence profiles to illustrate how news about events occurring over different time frames plays different...

This paper estimates the impact of uncertainty shocks in a disaggregate model featuring state-level unemployment and uncertainty, which is measured using Google search data. We show that the disaggregate model captures important spillover effects which a model using aggregate data would overlook...