Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/174922
Authors: 
Angelini, Giovanni
Bacchiocchi, Emanuele
Caggiano, Giovanni
Fanelli, Luca
Year of Publication: 
2017
Series/Report no.: 
CESifo Working Paper 6799
Abstract: 
We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in the empirical literature on uncertainty: (i) Does the relationship between uncertainty and economic activity change across macroeconomic regimes? (ii) Is uncertainty a major cause or effect (or both) of decline in economic activity? Empirical results based on a small-scale VAR with US monthly data for the period 1960-2015 suggest that (i) the effects of uncertainty shocks are regime-dependent, and (ii) uncertainty is an exogenous source of decline of economic activity, rather than an endogenous response to it.
Subjects: 
heteroscedasticity
identification
non-recursive SVAR
uncertainty shocks
volatility regime
JEL: 
C32
C51
E44
G01
Document Type: 
Working Paper

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