A New Approach to Identifying the Real Effects of Uncertainty Shocks
Bibliographic Data
| ID | 19417633 |
|---|---|
| Authors | Min-Chul Shin (University of Illinois Urbana-Champaign), Minchul Shin (0000-0002-4271-754X, University of Illinois Urbana-Champaign), Molin Zhong (Federal Reserve Board, Washington, DC 20551 ()) |
| Year | 2020 |
| Volume | 38 |
| Issue | 2 |
| Pages | 367-379 |
| Publication date | 2020-04-02 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2018.1506342 |
| OpenAlex | W2345751744 |
| Language | EN |
| Citations received | 11 |
| References cited | 42 |
This article introduces the use of the sign restrictions methodology to identify uncertainty shocks. We apply our methodology to a class of vector autoregression models with stochastic volatility that allow volatility fluctuations to impact the conditional mean. We combine sign restrictions on the conditional mean and conditional second moment impulse responses to identify financial and macro uncertainty shocks. On U.S. data, we find stronger evidence that financial uncertainty shocks lead to a decline in real activity and an easing of the federal funds rate relative to macro uncertainty shocks. Supplementary materials for this article are available online
Conditional expectation · Econometrics · Economics · Federal funds · Impulse response · Macro · Macroeconomics · Monetary policy · Stochastic volatility · Structural vector autoregression · Vector autoregression · Computer Science · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
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| Unique citing works | 11 |
|---|---|
| Citations per year | 1 |
| Citation span | 2015 - 2026 (12) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 8 |