Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/206691 
Title: 

The Impact of Uncertainty and Financial Shocks in Recessions and Booms

The document was removed on behalf of the author(s)/ the editor(s).

Year of Publication: 
2019
Publisher: 
ZBW – Leibniz Information Centre for Economics, Kiel, Hamburg
Abstract: 
The literature has widely discussed the role of financial and economic uncertainty shocks for the macroeconomy. However, empirically isolating them is difficult and uncertainty is increasingly considered as endogenous with respect to financial and other shocks. To obtain a more complete picture I model financial and uncertainty shocks jointly in a state-dependent FAVAR setup and provide agnostic identification bounds on their effects. Results for the U.S. document that (i) uncertainty shocks are of limited relevance for real activity and asset prices in boom periods but have significantly contractionary effects in recessions. (ii) By comparison, financial shocks have higher explanatory power for asset prices and are contractionary both in recessions and boom periods. (iii) Financial conditions are key for understanding uncertainty shocks. (iv) Uncertainty transmits financial shocks to a notable degree in recessions.
Subjects: 
Macroeconomic tail events
nonlinear FAVARs
financial shocks
JEL: 
E32
E44
Document Type: 
Working Paper

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The document was removed on behalf of the author(s)/ the editor(s) on: April 14, 2020


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