What are the macroeconomic effects of high‐frequency uncertainty shocks?
Laurent Ferrara () and
Pierre Guérin ()
Journal of Applied Econometrics, 2018, vol. 33, issue 5, 662-679
This paper evaluates the effects of high‐frequency uncertainty shocks on a set of low‐frequency macroeconomic variables representative of the US economy. Rather than estimating models at the same common low frequency, we use recently developed econometric models, which allow us to deal with data of different sampling frequencies. We find that credit and labor market variables react the most to uncertainty shocks in that they exhibit a prolonged negative response to such shocks. When looking at detailed investment subcategories, our estimates suggest that the most irreversible investment projects are the most affected by uncertainty shocks. We also find that the responses of macroeconomic variables to uncertainty shocks are relatively similar across single‐frequency and mixed‐frequency data models, suggesting that the temporal aggregation bias is not acute in this context.
References: Add references at CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed
Downloads: (external link)
Working Paper: What are the macroeconomic effects of high-frequency uncertainty shocks? (2018)
Working Paper: What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks (2016)
Working Paper: What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks? (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:japmet:v:33:y:2018:i:5:p:662-679
Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252
Access Statistics for this article
Journal of Applied Econometrics is currently edited by M. Hashem Pesaran
More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().