Components of uncertainty

Vegard Larsen

No 2017/5, Working Paper from Norges Bank

Abstract: Uncertainty is acknowledged to be a source of economic fluctuations. But, does the type of uncertainty matter for the economy's response to an uncertainty shock? This paper offers a novel identi cation strategy to disentangle different types of uncertainty. It uses machine learning techniques to classify different types of news instead of specifying a set of keywords. It is found that, depending on its source, the effects of uncertainty on macroeconomic variable may differ. I find that both good(expansionary effect) and bad (contractionary effect) types of uncertainty exist.

Keywords: Newspaper; Topic model; Uncertainty; Business cycles; Machine learning (search for similar items in EconPapers)
JEL-codes: D80 E32 E66 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2017-04-18
New Economics Papers: this item is included in nep-hpe and nep-mac
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Citations: View citations in EconPapers (27)

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http://www.norges-bank.no/en/Published/Papers/Working-Papers/2017/52017/

Related works:
Journal Article: COMPONENTS OF UNCERTAINTY (2021)
Working Paper: Components of Uncertainty (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2017_05

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