COMPONENTS OF UNCERTAINTY

• 成果类型: Article
• 署名作者: Larsen, Vegard Hoghaug
• 署名单位: Norges Bank; BI Norwegian Business School
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12499
• 发表日期: 2021
• 页码: 769-788
• 关键词: volatility; shocks; price; news

摘要

Uncertainty is acknowledged to be a source of economic fluctuations. But, does the type of uncertainty matter for the economy's response to an uncertainty shock? This article offers a novel identification strategy to disentangle different types of uncertainty. It uses machine learning techniques to classify different types of news instead of specifying a set of keywords. The article finds that, depending on its source, the effects of uncertainty on a macroeconomic variable may differ. I find that both good (expansionary effect) and bad (contractionary effect) types of uncertainty exist.