Measuring Uncertainty and Its Impact on the Economy

By Andrea Carriero, Todd E. Clark, Massimiliano Marcellino. Review of Economics and Statistics, 2016

255 citations recorded by the source corpus.

Abstract We propose a new model for measuring uncertainty and its effects on the economy, based on a large vector autoregression with stochastic volatility driven by common factors representing macroeconomic and financial uncertainty. The uncertainty measures reflect changes in both the conditional mean and volatility of the variables, and their impact on the economy can be assessed within the same framework. Estimates with U.S. data show substantial commonality in uncertainty, with sizable effects of uncertainty on key macroeconomic and financial variables. However, historical decompositions show a limited role of uncertainty shocks in macroeconomic fluctuations.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/bc9ff4865e0dfbddf14aabf44b48fffb0c0d9334

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In Economics and Econometrics

Citations in the corpus

Macroeconomic Uncertainty Through the Lens of Professional Forecasters (2019, unknown): “In line with Carriero et al. (2016), the posterior credible set is fairly wide, suggesting that the uncertainty around uncertainty estimates is large.”
Economic Policy Uncertainty Spillovers in Booms and Busts (2019, unknown): “These numbers points to EPU shocks coming from the US as being as important as domestic Canadian EPU shocks, a result consistent with Kl¨oßner and Sekkel’s (2014) evidence pointing to policy spillovers from the United States to Canada. p Moreover, uncertainty is important in general, given that it i”
Level and Volatility Factors in Macroeconomic Data (2017, methodology): “Second, our estimated V 1 is only weakly correlated with measures of volatility/uncertainty constructed in previous studies such as Baker et al. (2016) and 3 See, for example, Justiano and Primiceri (2008) and Carriero et al. (2016) among others.”