IDENTIFYING UNCERTAINTY SHOCKS USING THE PRICE OF GOLD

• 成果类型: Article
• 署名作者: Piffer, Michele; Podstawski, Maximilian
• 署名单位: Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Free University of Berlin
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12545
• 发表日期: 2018
• 页码: 3266-3284
• 关键词: monetary-policy surprises; business cycles; Tax changes; IMPACT; news; OIL; autoregressions

摘要

We propose an instrument to identify uncertainty shocks in a proxy structural vector autoregressive model (SVAR). The instrument equals the variations in the price of gold around events associated with unexpected changes in uncertainty. These variations correlate with uncertainty shocks because gold is perceived as a safe haven asset. To control for news-related effects associated with the events we identify uncertainty and news shocks jointly, developing a set-identified proxy SVAR. We find that the popular recursive approach underestimates the effects of uncertainty shocks and delivers responses for economic activity and monetary policy that have more in common with news shocks than with uncertainty shocks.