News and Uncertainty Shocks

Danilo Cascaldi‐garcia and Ana Galvão
Authors registered in the RePEc Author Service: Danilo Cascaldi-Garcia

Journal of Money, Credit and Banking, 2021, vol. 53, issue 4, 779-811

Abstract: We provide novel evidence that technological news and uncertainty shocks, identified one at a time using vector autoregressive (VAR) models as in the literature, are correlated; that is, they are not truly structural . We then proceed by proposing an identification scheme to disentangle the effects of news and financial uncertainty shocks. We find that by removing financial uncertainty effects from news shocks, the positive responses of economic activity to news shocks are strengthened in the short term; and that the negative responses of activity to financial uncertainty shocks are deepened in the medium term as “good uncertainty” effects on technology are purged.

Date: 2021
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Citations: View citations in EconPapers (20)

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https://doi.org/10.1111/jmcb.12727

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Working Paper: News and Uncertainty Shocks (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:53:y:2021:i:4:p:779-811

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