shock proxies on the estimated impulse responses from these SVAR models. We show via a Monte Carlo experiment that … uncertainty shock proxy as an instrument to identify the underlying shock does not suffer from this bias. Applying this proxy SVAR …

-sized uncertainty shock generates a larger contraction in real activity when growth is low (as in recessions) than when growth is high …

financial executives, belief distortions on financial markets identify a non-rational risk shock. Surprises in beliefs in credit … the constructed shocks have statistically and economically meaningful effects. A positive non-rational risk shock moves …

shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …

assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a latent … consequences jointly, and most are based on single country models. We analyze the special case of a shock restricted to the Euro … for all countries over a period of roughly a year following an uncertainty shock. Moreover, equity prices, short …