How do short and long term interest rates respond to a jump in financial uncertainty? We address this question by … conducting a local projections analysis with US monthly data, period: 1962-2018. The state-of-the-art financial uncertainty … particular, an increase in financial uncertainty is found to trigger a negative and significant response of both short and long …

We find that model estimates of the term structure of ex ante or perceived macro uncertainty are more in line with … realized uncertainty than survey respondents perceptions for both in flation and output growth. Survey estimates contain short …-term variation in short-horizon uncertainty which is less evident in the model-based estimates. We consider the extent to which these …

The study applies a BEKK GARCH-M model to examine the effect of uncertainty on the levels of inflation and output … growth in Nigeria. The results suggest a significant positive effect of inflation uncertainty on the level of inflation …, supporting the Cukierman and Meltzer (1986) hypothesis. In addition, uncertainty about inflation is found to be detrimental to …