Measuring Uncertainty and Its Impact on the Economy (vol 100, pg 799, 2018)

• 成果类型: Correction
• 署名作者: Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
• 署名单位: University of London; Queen Mary University London; University of Bologna; Federal Reserve System - USA; Federal Reserve Bank - Cleveland; Bocconi University
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_e_01172
• 发表日期: 2022-05
• 页码: -
• 关键词: bayesian vector autoregressions; stochastic volatility; shocks

摘要

Carriero, Clark, and Marcellino (2018, CCM2018) used a large BVAR model with a factor structure to stochastic volatility to produce an estimate of time-varying macroeconomic and financial uncertainty and assess the effects of uncertainty on the economy. The results in CCM2018 were based on an estimation algorithm that has recently been shown to be incorrect by Bognanni (2022) and fixed by Carriero et al. (2022). In this corrigendum we use the algorithm correction of Carriero et al. (2022) to correct the estimates of CCM2018. Although the correction has some impact on the original results, the changes are small and the key findings of CCM2018 are upheld.