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The Impact of Aggregate Uncertainty on Firm-Level Uncertainty
Easaw, Joshy; Grimme, Christian - 2021
We analyse the extent to which firm-level uncertainty is affected by aggregate uncertainty. Firm-level uncertainty is constructed from a large and monthly panel dataset of manufacturing firms. We find that aggregate uncertainty has a positive and robust impact on firm-level uncertainty. This...
Persistent link: https://www.econbiz.de/10013239562
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Yield Curve and Financial Uncertainty : Evidence Based on Us Data
Castelnuovo, Efrem - 2019
How do short and long term interest rates respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962-2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng (2019) is found...
Persistent link: https://www.econbiz.de/10012867014
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Forecasting with Panel Data : Estimation Uncertainty Versus Parameter Heterogeneity
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022
methods provide better overall forecasting performance and offer more attractive risk profiles compared to individual, pooled …
Persistent link: https://www.econbiz.de/10013292495
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ROC and PRC Approaches to Evaluate Recession Forecasts
Lahiri, Kajal; Yang, Cheng - 2023
We have studied the relationship between Receiver Operating Characteristics (ROC) and Precision-Recall Curve (PRC) both analytically and using a real-life empirical example of yield spread as a predictor of recessions. We show that false alarm rate in ROC and inverted precision in PRC are...
Persistent link: https://www.econbiz.de/10014348182
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Cyclical Income Risk in Great Britain
Angelopoulos, Konstantinos - 2019
This paper establishes new evidence on the cyclical behaviour of household income risk in Great Britain and assesses … the role of social insurance policy in mitigating against this risk. We address these issues using the British Household …. We then estimate how income risk, measured by the variance and the skewness of the probability distribution of shocks to …
Persistent link: https://www.econbiz.de/10012872060
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Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles
Görtz, Christoph - 2019
A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different … measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk …
Persistent link: https://www.econbiz.de/10012858207
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Economic Uncertainty and Fertility
Gozgor, Giray; Bilgin, Mehmet; Rangazas, Peter - 2021
In this paper, we conduct an empirical study of how uncertainty alters fertility behavior. The precautionary motive for saving predicts that an increase in income uncertainty increases saving by reducing both consumption and fertility. We examine this prediction using a new measure of economic...
Persistent link: https://www.econbiz.de/10013231969
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Uncertainty and Monetary Policy During the Great Recession
Pellegrino, Giovanni; Castelnuovo, Efrem; Caggiano, Giovanni - 2021
real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this … conducted as in normal times. Finally, we show that the rule estimated during the great recession is able to deliver an economic …
Persistent link: https://www.econbiz.de/10013235107
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Perceived Uncertainty Shocks, Excess Optimism-Pessimism, and Learning in the Business Cycle
Chatterjee, Pratiti; Milani, Fabio - 2021
What are the effects of beliefs, sentiment, and uncertainty, over the business cycle? To answer this question, we develop a behavioral New Keynesian macroeconomic model, in which we relax the assumption of rational expectations. Agents are, instead, boundedly rational: they have a...
Persistent link: https://www.econbiz.de/10013315209
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Why Does Risk Matter More in Recessions than in Expansions?
Andreasen, Martin M.; Caggiano, Giovanni; Pellegrino, … - 2021
This paper uses a nonlinear vector autoregression and a non-recursive identification strategy to show that an equal-sized uncertainty shock generates a larger contraction in real activity when growth is low (as in recessions) than when growth is high (as in expansions). An estimated New...
Persistent link: https://www.econbiz.de/10013324269