News and Uncertainty Shocks

Danilo Cascaldi-Garcia and Ana Galvão

No 1240, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We provide novel evidence that technological news and uncertainty shocks, identified one at a time using 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 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.

Keywords: Forecasting error variance; Structural VAR; News shocks; Uncertainty shocks (search for similar items in EconPapers)
JEL-codes: E32 E44 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2018-11
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 (2)

Downloads: (external link)
https://www.federalreserve.gov/econres/ifdp/files/ifdp1240.pdf (application/pdf)

Related works:
Journal Article: News and Uncertainty Shocks (2021)
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:fip:fedgif:1240

DOI: 10.17016/IFDP.2018.1240

Access Statistics for this paper

More papers in International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().