News and Uncertainty Shocks

Cascaldi‐Garcia, Danilo; Galvão, Ana Beatriz

doi:10.17016/ifdp.2018.1240

Int. finance discuss. pap.

2018

DOI: 10.17016/ifdp.2018.1240

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News and Uncertainty Shocks

Danilo Cascaldi‐Garcia

Ana Beatriz Galvão²

Abstract: 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 uncertainty shocks. We find that by removing uncertainty effects from news shocks, the positive responses of economic activity to news shocks are strengthened in the short term; and that the negative responses of activ… Show more

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Cited by 7 publications

References 29 publications

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Uncertainty in an emerging market economy: evidence from Thailand

Apaitan¹,

Luangaram

Manopimoke

2021

Empir Econ

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This paper constructs various measures of domestic and global uncertainty and provides a comprehensive study of their impacts on the Thai economy. Based on a small open economy VAR, global uncertainty delivers deeper and more long-lasting effects when compared to within-country ones. In addition, we find that uncertainty shocks first generate sudden and large declines for stock prices and foreign portfolio investment, before gradually affecting the real economy through investment and trade channels. There is also meaningful heterogeneity among different types of domestic uncertainty. While financial uncertainty matters most for the Thai economy overall, consumption demand largely responds to macroeconomic uncertainty, while economic policy and political uncertainty generates the most persistent effects on investment. Furthermore, fiscal policy uncertainty is a key driver of trade flows while monetary policy uncertainty plays an important role for capital markets.We would like to thank Patcharaporn Leepipatpiboon and Chaitat Jirophat for excellent research assistance. We also appreciate insightful and constructive comments by two anonymous referees. The views expressed in this paper are of the authors and do not necessarily reflect those of the Bank of Thailand.

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Uncertainty in an emerging market economy: evidence from Thailand

Apaitan¹,

Luangaram

Manopimoke

2021

Empir Econ

View full text Add to dashboard Cite

show abstract

The impact of economic and policy uncertainty shocks in Spain

Albert

Gómez-Fernández

2020

Journal of Economic Policy Reform

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The Costs of Economic Nationalism: Evidence from the Brexit Experiment*

Born

Müller

Schularick

et al. 2019

The Economic Journal

157

130

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Economic nationalism is on the rise, but at what cost? We study this question using the unexpected outcome of the Brexit referendum vote as a natural macroeconomic experiment. Employing synthetic control methods, we first show that the Brexit vote has caused a UK output loss of 1.7% to 2.5% by year-end 2018. An expectations-augmented VAR suggests that these costs are, to a large extent, driven by a downward revision of growth expectations in response to the vote. Linking quasi-experimental identification to structural time-series estimation allows us not only to quantify the aggregate costs but also to understand the channels through which expected economic disintegration impacts the macroeconomy.

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News and Uncertainty Shocks

Cited by 7 publications

References 29 publications

Uncertainty in an emerging market economy: evidence from Thailand

Uncertainty in an emerging market economy: evidence from Thailand

The impact of economic and policy uncertainty shocks in Spain

The Costs of Economic Nationalism: Evidence from the Brexit Experiment*

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