ambiguous effects w.r.t. to the impact of capital market risk as well as inflation risk, which is due to the interplay of … response to positive changes in inflation risk and capital market risk, respectively, with both effects lasting permanently. …In this article we derive a microfounded model of money demand under uncertainty built on intertemporally optimizing …

In this study we construct a measure of macroeconomic uncertainty from several observable …

doing so, it introduces and uses the monetary policy uncertainty (MPU) index, which can probably be a very appropriate and … studies that use conventional uncertainty-based independent variables. Empirical findings of both models indicate that changes …

the Great Recession, in which the effects of greater model uncertainty may have played a role in keeping inflation rates … equilibrium exists. We study the response differences in the dynamics of the inflation rate to changes in the mean and variance of …

A comprehensive measure of economic uncertainty, known as "Policy Uncertainty", which was constructed by the Economic … Policy Uncertainty Group by searching popular newspapers for uncertain terms associated with economic factors and its impact … estimated, policy uncertainty had no long-run effects. However, when a nonlinear model was estimated, the results showed that …

(1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the Volatility …) undercapitalized sectors (8) time-varying risk premia, and (9) the external funding premium are part of the analysis. Financial …

This paper evaluates the predictive out-of-sample forecasting properties of six different economic uncertainty …. The core contention is that economic uncertainty improves both forecast accuracy as well as direction-of-change forecasts … an increased relevance of certain economic uncertainty measures for forecasting growth in both real aggregate as well as …

model averaging in policy design. Interestingly, a simple difference rule with the same coefficients on inflation and output …