The Impact Of Uncertainty Shocks

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The Impact Of Uncertainty Shocks

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Author : Nicholas Bloom
language : en
Publisher:
Release Date : 2007

The Impact Of Uncertainty Shocks written by Nicholas Bloom and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

Uncertainty appears to jump up after major shocks like the Cuban Missile crisis, the assassination of JFK, the OPEC I oil-price shock and the 9/11 terrorist attack. This paper offers a structural framework to analyze the impact of these 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 aggregate output and employment. This occurs because higher uncertainty causes firms to temporarily pause their investment and hiring. Productivity growth also falls because this pause in activity freezes reallocation across units. In the medium term the increased volatility from the shock induces an overshoot in output, employment and productivity. Thus, second moment shocks generate short sharp recessions and recoveries. This simulated impact of an uncertainty shock is compared to VAR estimations on actual data, showing a good match in both magnitude and timing. The paper also jointly estimates labor and capital convex and non-convex adjustment costs. Ignoring capital adjustment costs is shown to lead to substantial bias while ignoring labor adjustment costs does not.

The Impact Of Uncertainty Shocks On The Uk Economy

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Author : MissStephanie Denis
language : en
Publisher: International Monetary Fund
Release Date : 2013-03-08

The Impact Of Uncertainty Shocks On The Uk Economy written by MissStephanie Denis and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-08 with Business & Economics categories.

This paper quantifies the economic impact of uncertainty shocks in the UK using data that span the recent Great Recession. We find that uncertainty shocks have a significant impact on economic activity in the UK, depressing industrial production and GDP. The peak impact is felt fairly quickly at around 6-12 months after the shock, and becomes statistically negligible after 18 months. Interestingly, the impact of uncertainty shocks on industrial production in the UK is strikingly similar to that of the US both in terms of the shape and magnitude of the response. However, unemployment in the UK is less affected by uncertainty shocks. Finally, we find that uncertainty shocks can account for about a quarter of the decline in industrial production during the Great Recession.

The Impact Of Uncertainty Shocks

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Author :
language : en
Publisher:
Release Date : 2006

The Impact Of Uncertainty Shocks written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business categories.

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.

The Impact Of Uncertainty Shocks

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Author : Nicholas Bloom
language : en
Publisher:
Release Date : 2007

The Impact Of Uncertainty Shocks written by Nicholas Bloom and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

The Impact Of Uncertainty And Certainty Shocks

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Author : Yves S. Schüler
language : en
Publisher:
Release Date : 2020

The Impact Of Uncertainty And Certainty Shocks written by Yves S. Schüler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.

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.

Global Uncertainty And The Global Economy

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Author : Wensheng Kang
language : en
Publisher:
Release Date : 2016

Global Uncertainty And The Global Economy written by Wensheng Kang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

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.

The Impact Of Uncertainty Shocks In The United Kingdom

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Author : Chris Redl
language : en
Publisher:
Release Date : 2017

The Impact Of Uncertainty Shocks In The United Kingdom written by Chris Redl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

The Impact Of Uncertainty Shocks Continental Europe Versus The Anglo Saxon World

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Author : Joris de Wind
language : en
Publisher:
Release Date : 2016

The Impact Of Uncertainty Shocks Continental Europe Versus The Anglo Saxon World written by Joris de Wind and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Economic impact analysis categories.

We show empirically that uncertainty shocks are followed by deeper recessions in Continental Europe than in the Anglo-Saxon World. Moreover, our variance decomposition indicates that the conditional variance of economic activity related to only uncertainty shocks is much larger in Continental Europe. We associate these findings with country heterogeneity in labor and capital market flexibility, since firms are less capable to deal with uncertain situations when investment and hiring decisions are less easy to reverse, as suggested by Bloom (2009) and consistent with the findings of Bartelsman, Gautier, and de Wind (2016). Our empirical results are based on a structural Vector Autoregression with a similar specification as Bloom (2009).

Economic Effects Of Covid 19 Related Uncertainty Shocks

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Author : Giray Gozgor
language : en
Publisher: Frontiers Media SA
Release Date : 2021-11-24

Economic Effects Of Covid 19 Related Uncertainty Shocks written by Giray Gozgor and has been published by Frontiers Media SA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-11-24 with Medical categories.

The Long Run Effects Of Uncertainty Shocks

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Author : Dario Bonciani
language : en
Publisher:
Release Date : 2019

The Long Run Effects Of Uncertainty Shocks written by Dario Bonciani and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.