The impact of macroeconomic uncertainty on the relationship between financial volatility and real economic activity

Jouchi Nakajima

Applied Economics, 2024, vol. 56, issue 47, 5591-5604

Abstract: A stock market volatility index is a widely used proxy of uncertainty in the macroeconomy, where a rise in the index dampens real economic activity. By contrast, the macroeconomic uncertainty index proposed by Jurado et al. (2015) measures the predictability of a wide range of macroeconomic indicators and thus, is a comprehensive indicator of macroeconomy-wide uncertainty. This study empirically investigates the nonlinear link between financial volatility and real economic activity based on the level of the macroeconomic uncertainty index. Employing data from the United States and Japan, the empirical analysis suggests that an increase in financial volatility lowers industrial production and business-fixed investment more persistently when macroeconomic uncertainty is higher.

Date: 2024
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2023.2257039 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:56:y:2024:i:47:p:5591-5604

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2023.2257039

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().