EconPapers    
Economics at your fingertips  
 

The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models

Josué Diwambuena () and Jean-Paul K. Tsasa ()
Additional contact information
Josué Diwambuena: Free University of Bozen-Bolzano, Italy
Jean-Paul K. Tsasa: Department of Economics, Université du Québec, Montreal

No BEMPS87, BEMPS - Bozen Economics & Management Paper Series from Faculty of Economics and Management at the Free University of Bozen

Abstract: This paper applies both linear and nonlinear structural vector autoregressive (SVAR) models using two distinct identifications methods to disentangle the macroeconomic effects of uncertainty shocks for a developing country. As an application, we use macroeconomic data for the Democratic Republic of Congo (Congo), one of the largest and least developed countries in the world with a rich history of domestic political instability and high macroeconomic volatility. Our measure of uncertainty is the world uncertainty index for the Congo recently developed by Ahir et al. (2018) for a panel of developed and developing countries. Using a standard SVAR model with sign restrictions, we provide evidence that an unexpected increase in uncertainty triggers contractions in GDP and investment on impact in the Congo. We show that uncertainty shocks are among the greatest drivers of economic fluctuations. Our results are robust across alternative linear and nonlinear SVAR specifications using the Cholesky decomposition.

Keywords: Uncertainty; SVAR; Sign restriction; Congo. (search for similar items in EconPapers)
JEL-codes: C30 D80 E32 O40 (search for similar items in EconPapers)
Pages: [43 pages]
Date: 2021-07
New Economics Papers: this item is included in nep-isf and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://repec.unibz.it/bemps87.pdf (application/pdf)

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:bzn:wpaper:bemps87

Access Statistics for this paper

More papers in BEMPS - Bozen Economics & Management Paper Series from Faculty of Economics and Management at the Free University of Bozen Contact information at EDIRC.
Bibliographic data for series maintained by F. Marta L. Di Lascio () and Alessandro Fedele ().

 
Page updated 2022-12-03
Handle: RePEc:bzn:wpaper:bemps87