Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-country Analysis
Klodiana Istrefi () and
Sarah Mouabbi ()
Working papers from Banque de France
We ask whether uncertainty about interest rates is important for economic activity. Effects of interest rate uncertainty on the economy are examined through the lens of a small VAR where the assumption that uncertainty can affect real activity contemporaneously but not vice versa is indeed in line with the data. Our measure of uncertainty stems from professional forecasts of short- and long-term interest rates and accounts for both disagreement among forecasters and the perceived variability of future aggregate shocks. Studying a panel of countries we find that subjective interest rate uncertainty has large, negative and persistent effects on the economy.
Keywords: interest rates; subjective uncertainty; surveys of professional forecasters; macroeconomic fluctuations; structural VAR (search for similar items in EconPapers)
JEL-codes: C32 E43 E47 F44 F47 (search for similar items in EconPapers)
Pages: 32 pages
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24) Track citations by RSS feed
Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... documents/dt-619.pdf (application/pdf)
Journal Article: Subjective interest rate uncertainty and the macroeconomy: A cross-country analysis (2018)
Journal Article: Subjective interest rate uncertainty and the macroeconomy: a cross-country analysis (2017)
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:bfr:banfra:619
Access Statistics for this paper
More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().