The economic effects of firm-level uncertainty: Evidence using subjective expectations

• 成果类型: Article
• 署名作者: Fiori, Giuseppe; Scoccianti, Filippo
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; European Central Bank; Bank of Italy
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.08.004
• 发表日期: 2023
• 页码: 92-105
• 关键词: uncertainty; business cycles; INVESTMENT; expectations; Cash holdings; Downside uncertainty

摘要

Using two decades of Italian survey data on business managers' expectations we measure subjective firm-level uncertainty and quantify its economic effects. Firm-level uncertainty persists for a few years and varies across firms' demographic characteristics. Uncertainty induces sizable and long-lasting economic effects over a broad array of real and financial variables only when driven by its downside component - that is, uncertainty about below-mean outcomes. Economy-wide uncertainty, constructed by aggregating firm-level uncertainty, is countercyclical but uncorrelated with typical proxies in the literature.