 Uncertainty, Risk-taking, and the Business Cycle in GermanyCESifo Economic Studies, 2010, vol. 56, issue 4, 596-626 Abstract: This article investigates the business cycle behaviour of measures of perceived uncertainty and financial risk premia in Germany over the past two decades. Both the perceived uncertainty and the financial risk premia are highly countercyclical and may therefore amplify and propagate the transmission of business cycle shocks. We find that exogenous uncertainty shocks have a significantly small but temporary effect on output and financial risk premia and their overall contribution to output developments is limited. Positive financial risk aversion shocks, on the contrary, have a protractred but large negative impact on the economy and are more important in driving business cycles than uncertainty shocks. (JEL codes: E32, E44, G01, G20) Copyright The Author 2010. Published by Oxford University Press on behalf of Ifo Institute for Economic Research, Munich. All rights reserved. For permissions, please email: journals.permissions@oxfordjournals.org, Oxford University Press. Date: 2010 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:oup:cesifo:v:56:y:2010:i:4:p:596-626 Ordering information: This journal article can be ordered from Access Statistics for this article CESifo Economic Studies is currently edited by Panu Poutvaara More articles in CESifo Economic Studies from CESifo Group Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC. |
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