Author: Gene AmbrocioPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The Real Effects of Overconfidence and Fundamental Uncertainty Shocks
Author: Gene AmbrocioA New Approach to Identifying the Real Effects of Uncertainty Shocks
Author: Minchul ShinThe Real Effects of Financial Uncertainty Shocks: a Daily Identification Approach
Author: Piergiorgio AlessandriThree Essays on Uncertainty
Author: Seohyun LeeThe Impact of Uncertainty and Certainty Shocks
Author: Yves S. SchülerPublisher:
ISBN: 9783957296870
Category :
Languages : en
Pages :
Book Description
I propose a Bayesian quantile VAR to identify and assess the impact of uncertainty and certainty shocks, unifying Bloom's (2009) two identification steps into one. I find that an uncertainty shock widens the conditional distribution of future real economic activity growth, in line with a risk shock. Conversely, a certainty shock (a shock strongly decreasing uncertainty) narrows the conditional distribution of future real activity growth. In addition to the difference in signs, I show that the two shocks are different shocks. Each shock impacts the real economy uniquely. I support this with the underlying events: For instance, uncertainty shocks relate to events such as Black Monday and 9/11, but also to fears about future negative economic outcomes. In contrast, certainty shocks often link to phases of irrational exuberance. Commonly, no distinction is made between uncertainty and certainty shocks. I show that uncertainty shocks become more important if distinguished from certainty shocks.
The Impact of Uncertainty Shocks
Author: Publisher:
ISBN: 9780753019443
Category : Business
Languages : en
Pages :
Book Description
Uncertainty appears to vary strongly over time, temporarily rising by up to 200% around major shocks like the Cuban Missile crisis, the assassination of JFK and 9/11. This paper offers the first structural framework to analyze uncertainty shocks. I build a model with a time varying second moment, which is numerically solved and estimated using firm level data. The parameterized model is then used to simulate a macro uncertainty shock, which produces a rapid drop and rebound in employment, investment and productivity, and a moderate loss in GDP. This temporary impact of a second moment shock is different from the typically persistent impact of a first moment shock, highlighting the importance for policymakers of identifying their relative magnitudes in major shocks. The simulation of an uncertainty shock is then compared to actual 9/11 data, displaying a surprisingly good match.
On Persistence of Uncertainty Shocks
Author: Sergey EgievFinancial Uncertainty and Real Activity
Author: Giovanni CaggianoPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper quantifies the finance uncertainty multiplier (i.e., the magnifying effect of the real impact of uncertainty shocks due to financial frictions) by relying on two historical events related to the US economy, i.e., the large jump in financial uncertainty occurred in October 1987 (which was not accompanied by a deterioration of the credit supply conditions), and the comparable jump in financial uncertainty in September 2008 (which went hand-in-hand with an increase in financial stress). Working with a VAR framework and a set-identification strategy which focuses on - but it is not limited to - restrictions related to these two dates, we estimate the finance uncertainty multiplier to be equal to 2, i.e., credit supply disruptions are found to double the negative output response to an uncertainty shock. We then employ our model to estimate the overall economic cost of the COVID-19-induced uncertainty shock under different scenarios. Our results point to the possibility of a cumulative yearly loss of industrial production as large as 31% if credit supply gets disrupted. Liquidity interventions that keep credit conditions as healthy as they were before the COVID-19 uncertainty shock are found to substantially reduce such loss.
Global Uncertainty and the Global Economy
Author: Wensheng KangPublisher:
ISBN:
Category :
Languages : en
Pages : 41
Book Description
We constructed a new index of global uncertainty using the first principal component of the stock market volatility for the largest 15 economies. We evaluate the impact of global uncertainty on the global economy using the new global database from Global Economic Indicators (DGEI), Federal Reserve Bank of Dallas. Global uncertainty shocks are less frequent than those observed in data on the U.S. economy. Global uncertainty shocks are associated with a sharp decline in global inflation, global growth and in the global interest rate (based on official/policy interest rates set by central banks). Our decomposition of global uncertainty shocks shows that global financial uncertainty shocks are more important than non-financial shocks. Over the period 1981 to 2014 global financial uncertainty forecasts 18.26% and 14.95% of the variation in global growth and global inflation respectively. The non-financial uncertainty shocks have insignificant effects on global growth. The model for global variables shows more protracted and substantial negative effects of uncertainty on growth and inflation than does a panel model estimating associations of local country-level variables. This outcome is reversed for the effect of uncertainty on official interest rate.
Uncertainty, Investment and Growth
Author: Hanno DihlePublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Abstract: The impact of uncertainty on the decision-making of economic agents, such as firms and households, is a important but often neglected element of micro- and macroeconomic theory. With the onset of the financial crisis in 2007 and the strong increase in uncertainty that accompanied it, the theoretical analysis of this phenomenon has become more important. With the article `The Impact of Uncertainty Shocks', published in 2009, Nicholas Bloom introduced a new facet to the debate surrounding the macroeconomic consequences of uncertainty: the question of what role uncertainty-induced 'real option values' in investment decisions play with regard to business cycle fluctuations. However, the inclusion of real option values in macroeconomic models raises questions that go beyond the effects of uncertainty on the business cycle. In particular, the implementation of specific stochastic processes as the basis of option value analysis, such as the widely used Brownian motion, requires a fundamental theoretical discussion regarding the modeling of uncertainty and its consequences in economic and growth models. The aim of this dissertation is a comprehensive discussion and further development of the theoretical effects of uncertainty in macroeconomic models against the background of the theory of real option values, with a strong focus on the implications of stochastic diffusion processes. The first article examines the effects of uncertainty in the euro crisis. Within a partial investment model, two kinds of uncertainty are introduced: volatility and disaster risk. The article expands the literature by integrating a jump-diffusion process into an entry-exit framework for investment decisions. In addition, SVAR estimates are made for a new country data set on uncertainty. The second article implements uncertainty and irreversibility in a growth model with monopolistic competition. The model integrates both micro- and macroeconomic uncertainty modeled as Brownian motions. The article provides a comprehensive picture of short- and long-term volatility effects. The third article expands the model with a jump-diffusion process to investigate the influence of uncertainty in a development-economic context. The paper expands the literature in the field of development economics with a model that illustrates the effects of different uncertainty shocks on the development process. In the fourth article, the model developed in the second article ...