Downside and Upside Uncertainty Shocks

• 成果类型: Article
• 署名作者: Forni, Mario; Gambetti, Luca; Sala, Luca
• 署名单位: Universita di Modena e Reggio Emilia; Centre for Economic Policy Research - UK; Autonomous University of Barcelona; University of Turin; Collegio Carlo Alberto; Bocconi University; Bocconi University
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvae024
• 发表日期: 2024
• 页码: 159-189
• 关键词: macroeconomic uncertainty; BUSINESS; fluctuations; GROWTH; IMPACT; MODEL

摘要

An increase in uncertainty is not contractionary per se. What is contractionary is a widening of the left tail of the GDP growth forecast distribution, the downside uncertainty. On the contrary, an increase of the right tail, the upside uncertainty, is mildly expansionary. The reason why uncertainty shocks have been previously found to be contractionary is because movements in downside uncertainty dominate existing empirical measures of uncertainty. The results are obtained using a new econometric approach that combines quantile regressions and structural vector autoregressions (VARs).