We propose a new model for measuring uncertainty and its e˙ects on the economy, based on a large vector autoregression with stochastic volatility driven by common fac-tors representing macroeconomic and financial uncertainty. The uncertainty measures reflect changes in both the conditional mean and volatility of the variables, and their im-pact on the economy can be assessed within the same framework. Estimates with U.S. data show substantial commonality in uncertainty, with sizable e˙ects of uncertainty on key macroeconomic and financial variables. However, historical decompositions show a limited role of uncertainty shocks in macroeconomic fluctuations.

Measuring uncertainty and its impact on the economy

Carriero Andrea;Marcellino Massimiliano
2018

Abstract

We propose a new model for measuring uncertainty and its e˙ects on the economy, based on a large vector autoregression with stochastic volatility driven by common fac-tors representing macroeconomic and financial uncertainty. The uncertainty measures reflect changes in both the conditional mean and volatility of the variables, and their im-pact on the economy can be assessed within the same framework. Estimates with U.S. data show substantial commonality in uncertainty, with sizable e˙ects of uncertainty on key macroeconomic and financial variables. However, historical decompositions show a limited role of uncertainty shocks in macroeconomic fluctuations.
2018
2018
Carriero, Andrea; Clark Todd, E.; Marcellino, Massimiliano
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/4021247
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