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This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...
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We propose a decomposition to distinguish between Knightian uncertainty (ambiguity) and risk, where the first measures … various components of our decomposition in a model that features ambiguity and risk …
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