Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148132
Authors: 
Ferrara, Laurent
Guérin, Pierre
Year of Publication: 
2016
Series/Report no.: 
Bank of Canada Staff Working Paper 2016-25
Abstract: 
This paper evaluates the effects of high-frequency uncertainty shocks on a set of lowfrequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies. We find that credit and labor market variables react the most to uncertainty shocks in that they exhibit a prolonged negative response to such shocks. When examining detailed investment sub-categories, our estimates suggest that the most irreversible investment projects are the most affected by uncertainty shocks. We also find that the responses of macroeconomic variables to uncertainty shocks are relatively similar across single- and mixed-frequency data models, suggesting that the temporal aggregation bias is not acute in this context.
Subjects: 
Business fluctuations and cycles
Econometric and statistical methods
JEL: 
E32
E44
C32
Document Type: 
Working Paper

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