The Macroeconomic Effects of Uncertainty Shocks in India - Gli effetti macroeconomici degli shock di incertezza in India

Lumengo Bonga-Bonga, Rangan Gupta and Charl Jooste

Economia Internazionale / International Economics, 2015, vol. 68, issue 3, 373-383

Abstract: The macroeconomic response to uncertainty for India is studied in a structural model that decomposes uncertainty into negative and positive contributions. The results show that uncertainty shocks reduce industrial production, lead to an exchange rate depreciation, lowers prices and increases interest rates. Conversely, a reduction in uncertainty (or an increase in negative uncertainty) increases industrial production, reduces prices, leads to an exchange rate appreciation and slightly increases interest rates. The results, however, reveal that the response to uncertainty is insignificant – this implies that the short run duration and sign could be different. - La risposta macroeconomica all’incertezza in India è esaminata con un modello strutturale che scompone l’incertezza in contributi positivi e contributi negativi. I risultati mostrano che gli shock d’incertezza riducono la produzione industriale, portano ad un deprezzamento del cambio, abbassano il livello dei prezzi e fanno aumentano i tassi d’interesse. Al contrario, una riduzione dell’incertezza (o un aumento dell’incertezza negativa) fa aumentare la produzione industriale, riduce i prezzi, porta ad un aumento del tasso di cambio e incrementa leggermente i tassi d’interesse. In ogni caso i risultati rivelano che la risposta all’incertezza non risulta significativa – il che implica che la sua durata nel breve periodo ed il segno possono essere differenti.

Keywords: Uncertainty; Macroeconomic Variables; SVECM; India (search for similar items in EconPapers)
JEL-codes: C32 E10 (search for similar items in EconPapers)
Date: 2015
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