| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15692 |
| DP15692 Macroeconomic Uncertainty and Vector Autoregressions | |
| Mario Forni; Luca Gambetti; Luca Sala | |
| 发表日期 | 2021-01-21 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We estimate measures of macroeconomic uncertainty and compute the effects of uncertainty shocks by means of a new simple procedure based on standard VARs. Uncertainty and its effects are estimated using a single model so to ensure internal consistency. Under suitable assumptions, our procedure is equivalent to using the square of the VAR forecast error as an external instrument in a proxy SVAR. Our procedure allows to add orthogonality constraints to the standard proxy SVAR identification scheme. We apply our method to a US data set; we find that uncertainty is mainly exogenous and is responsible of a large fraction of business-cycle fluctuations. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Uncertainty shocks Var models Ols estimation stochastic volatility |
| URL | https://cepr.org/publications/dp15692 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544699 |
| 推荐引用方式 GB/T 7714 | Mario Forni,Luca Gambetti,Luca Sala. DP15692 Macroeconomic Uncertainty and Vector Autoregressions. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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