Understanding the Sources of Macroeconomic Uncertainty

Rossi, Barbara; Sekhposyan, Tatevik; Soupre, Matthieu

doi:10.2139/ssrn.2780213

Cited by 69 publications

(101 citation statements)

References 33 publications

(30 reference statements)

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“…Other measures of macro uncertainty available in the literature have been proposed byRossi, Sekhposyan, and Soupre (2016) andScotti (2016). We use the measure proposed byJurado et al (2015) to be consistent with the VAR specification inLudvigson et al (2018a); see below.…”

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confidence: 99%

Uncertainty across volatility regimes

Angelini

Bacchiocchi

Caggiano

et al. 2018

J of Applied Econometrics

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Summary We propose a nonrecursive identification scheme for uncertainty shocks that exploits breaks in the volatility of macroeconomic variables and is novel in the literature on uncertainty. This approach allows us to simultaneously address two major questions in the empirical literature: Is uncertainty a cause or effect of decline in economic activity? Does the relationship between uncertainty and economic activity change across macroeconomic regimes? Results based on a small‐scale vector autoregression with US monthly data suggest that (i) uncertainty is an exogenous source of decline of economic activity, and (ii) the effects of uncertainty shocks amplify in periods of economic and financial turmoil.

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mentioning

confidence: 99%

Uncertainty across volatility regimes

Angelini

Bacchiocchi

Caggiano

et al. 2018

J of Applied Econometrics

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“…Jurado, Ludvigson, and Ng (2015) argue for defining and measuring uncertainty with forecast error variances. Rossi, Sekhposyan, and Soupre (2018) provide additional discussion of alternative concepts and measures, including a distinction between ex post and ex ante discussion.…”

Section: Relationship To Prior Workmentioning

confidence: 99%

Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

2018

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This paper uses a large vector autoregression to measure international macroeconomic uncertainty and its e↵ects on major economies. We provide evidence of significant commonality in macroeconomic volatility, with one common factor driving strong comovement across economies and variables. We measure uncertainty and its e↵ects with a large model in which the error volatilities feature a factor structure containing time-varying global components and idiosyncratic components. Global uncertainty contemporaneously a↵ects both the levels and volatilities of the included variables. Our new estimates of international macroeconomic uncertainty indicate that surprise increases in uncertainty reduce output and stock prices, adversely a↵ect labor market conditions, and in some economies lead to an easing of monetary policy.

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“…We employ the same reduced-form VAR to identify news and uncertainty shocks. However, we compute the matrices required for identification of these shocks separately as if we were only interested in either news (Barsky and Sims, 2011) or uncertainty shocks (Rossi et al, 2016).…”

Section: Identification Of News and Uncertainty Shocks In A Var Modelmentioning

confidence: 99%

“…Uncertainty shocks are an alternative source of belief-driven business cycle fluctuations (Bloom, 2009). The empirical evidence on the short-run negative effects of uncertainty shocks on economic activity using vector autoregressive models is extensive (Bachmann, Elstner, and Sims, 2013;Jurado, Ludvigson, and Ng, 2015;Baker, Bloom, and Davis, 2016;Caldara, Fuentes-Albero, Gilchrist, and Zakrajšek, 2016;Rossi, Sekhposyan, and Soupre, 2016;Shin and Zhong, 2018).…”

Section: Introductionmentioning

confidence: 99%

News and Uncertainty Shocks

Cascaldi‐Garcia

Galvão²

2018

Int. finance discuss. pap.

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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 activity to financial uncertainty shocks are deepened in the medium term as 'good uncertainty' effects on technology are purged.

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Understanding the Sources of Macroeconomic Uncertainty

Cited by 69 publications

References 33 publications

Uncertainty across volatility regimes

Uncertainty across volatility regimes

Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

News and Uncertainty Shocks

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