This paper measures economic uncertainty induced by the COVID-19 using a newspaper-based approach in Japan and examines its economic impact in the VAR model. We specify two types of uncertainty indices and structural shocks: epidemiological and policy-related uncertainties. The constructed...

The nonlinear effects of uncertainty shocks on U.S. macroeconomic activity are examined using a smooth transition VAR model in which the dynamic relationship between the variables changes with the level of economic policy uncertainty. We find that the responses of the variables change with the...