Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210421
Authors: 
Year of Publication: 
2018
Series/Report no.: 
Working Paper No. 864
Publisher: 
Queen Mary University of London, School of Economics and Finance, London
Abstract: 
This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the proposed method we consider two applications. First, we estimate UK macroeconomic uncertainty due to external shocks and show that this component has become increasingly important over time for overall uncertainty. Second, we estimate US macroeconomic uncertainty conditioned on monetary policy shocks with the results suggesting that while policy uncertainty was important during early 1980s, recent contributions are estimated to be modest.
Subjects: 
FAVAR
Stochastic volatility
Proxy VAR
Uncertainty measurement
JEL: 
C2
C11
E3
Document Type: 
Working Paper

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