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What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks

Laurent Ferrara () and Pierre Guérin ()

Staff Working Papers from Bank of Canada

Abstract: This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows 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 examining detailed investment sub-categories, 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- and mixed-frequency data models, suggesting that the temporal aggregation bias is not acute in this context.

Keywords: Business fluctuations and cycles; Econometric and statistical methods (search for similar items in EconPapers)
JEL-codes: C32 E32 E44 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2016
New Economics Papers: this item is included in nep-lma and nep-mac
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Citations: View citations in EconPapers (6) Track citations by RSS feed

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https://www.bankofcanada.ca/wp-content/uploads/2016/05/swp2016-25.pdf

Related works:
Journal Article: What are the macroeconomic effects of high‐frequency uncertainty shocks? (2018) Downloads
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? (2015) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:16-25

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