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We propose a new framework for measuring uncertainty and its effects on the economy, based on a large VAR model with … economy can be assessed within the same framework. Moreover, identification of the uncertainty shocks is simplified with …
Persistent link: https://www.econbiz.de/10012980970
We propose a new framework for measuring uncertainty and its effects on the economy, based on a large VAR model with … economy can be assessed within the same framework. Moreover, identification of the uncertainty shocks is simplified with …
Persistent link: https://www.econbiz.de/10012980985
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We measure the effects of the COVID-19 outbreak on uncertainty, and we assess the consequences of the uncertainty for key economic variables. We use a large, heteroskedastic vector autoregression (VAR) in which the error volatilities share two common factors, interpreted as macro and financial...
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