News and uncertainty shocks

Danilo Cascaldi-Garcia and Ana Beatriz Galvao

We provide novel evidence that technological news and uncertainty shocks, identified one at a time using VAR models as in the literature, are correlated; that is, they are not truly structural. We then proceed by proposing an identification scheme to disentangle the effects of news and financial uncertainty shocks. We find that by removing uncertainty effects from news shocks, the positive responses of economic activity to news shocks are strengthened in the short term; and that the negative responses of activity to financial uncertainty shocks are deepened in the medium term as â€˜good uncertainty' effects on technology are purged

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Year of publication:	September, 2018
Authors:	Cascaldi-Garcia, Danilo ; Galvão, Ana Beatriz C.
Publisher:	[Washington, DC] : Board of Governors of the Federal Reserve System
Subject:	forecasting error variance \| structural VAR \| news shocks \| uncertainty shocks \| Schock \| Shock \| Risiko \| Risk \| VAR-Modell \| VAR model \| Konjunktur \| Business cycle \| Prognoseverfahren \| Forecasting model \| Ankündigungseffekt \| Announcement effect \| Volatilität \| Volatility \| Schätzung \| Estimation \| Wirkungsanalyse \| Impact assessment

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Extent:	1 Online-Ressource (circa 42 Seiten) Illustrationen
Series:	International finance discussion papers. - Washington, DC : [Verlag nicht ermittelbar], ISSN 2767-4509, ZDB-ID 2572734-5. - Vol. number1240 (November 2018) FRB International Finance Discussion Paper ; No. 1240
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Classification:	E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy
Source:	ECONIS - Online Catalogue of the ZBW

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