We propose a new instrument to identify uncertainty shocks in a SVAR model with external instruments. The instrument is … constructed by exploiting variations in the price of gold around events that capture periods of changes in uncertainty. The … variations in the price of gold around the events correlate with the underlying uncertainty shocks, due to the perception of gold …

We study the impact of economic policy uncertainty (EPU) shocks on the long-run stock market variances and correlations … correlation, even after accounting for a number of alternative uncertainty measures, and that it performs better out …-of-sample than most of the alternative uncertainty measures …

this relationship accentuates or attenuates idiosyncratic stock volatility. Fundamental uncertainty refers to the … stock volatility increases (reduces) with fundamental (information) uncertainty during both recession and expansion, but the … uncertainty about firms' future cash flows and earnings, while information uncertainty captures the uncertainty about the true …

correlation between output and aggregate uncertainty. We find the transmission of uncertainty shocks to output is weak, while … aggregate uncertainty endogenously responds to first moment shocks in the presence of labor market search frictions. This … indicates that countercyclical movements in aggregate uncertainty are endogenous responses to changes in output, rather than …

process of switching steady-state levels of the volatility of market conditions (SS-uncertainty). Decision-makers predict SS-uncertainty … regimes using past fundamental shocks, but an exogenous uncertainty shock still exists. Model estimation un- covers evidence … of state-dependent uncertainty effects. Shock responses significantly vary, depending on the current uncertainty regime …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

return volatility. The model significantly improves prediction of the state of the economy using fully revised data. Real …