Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/288182 
Year of Publication: 
2023
Citation: 
[Journal:] Economic Inquiry [ISSN:] 1465-7295 [Volume:] 62 [Issue:] 1 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2023 [Pages:] 126-149
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
While causes and consequences of uncertainty in the US economy have attracted viable interest, the literature still lacks a consensus on several aspects. To name two matters of debate, it remains unclear whether uncertainty shocks are a source or the result of recessions and whether uncertainty shocks have adverse (or even stimulating) effects on the economy. We find that ambiguous results in these regards can be traced back to the selection of an appropriate identification strategy in structural vector autoregressive models. We find that both macroeconomic and financial uncertainty are exogenous to business cycle fluctuations and cause economic slowdowns.
Subjects: 
heteroskedasticity
independent components
model selection
non‐Gaussianity
structural vector autoregression
uncertainty shocks
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
Document Version: 
Published Version

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