EconPapers    
Economics at your fingertips  
 

What are the macroeconomic effects of high-frequency uncertainty shocks?

Laurent Ferrara () and Pierre Guérin ()

Post-Print from HAL

Abstract: This paper evaluates the effects of high‐frequency uncertainty shocks on a set of low‐frequency macroeconomic variables representative of the US economy. Rather than estimating models at the same common low frequency, we use recently developed econometric models, which allow 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 looking at detailed investment subcategories, 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‐frequency and mixed‐frequency data models, suggesting that the temporal aggregation bias is not acute in this context.

Keywords: [No; keyword; available] (search for similar items in EconPapers)
Date: 2018
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-02334586
References: Add references at CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Published in Journal of Applied Econometrics, Wiley, 2018, 33, pp.662-678

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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 (2016) Downloads
Working Paper: What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks? (2015) Downloads
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:hal:journl:hal-02334586

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2022-06-04
Handle: RePEc:hal:journl:hal-02334586