| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15881 |
| DP15881 Downside and Upside Uncertainty Shocks | |
| Mario Forni; Luca Gambetti; Luca Sala | |
| 发表日期 | 2021-03-03 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | An increase in uncertainty is not contractionary per se. What generates a significant downturn of economic activity is a widening of the left tail of the expected distribution of growth, the downside uncertainty. On the contrary, an increase of the right tail, the upside uncertainty, is mildly expansionary. The reason for why uncertainty shocks have been previously found to be contractionary is because movements in downside uncertainty dominate existing empirical measures of uncertainty. The results are obtained using a new econometric approach which combines quantile regressions and structural VARs. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Var models Quantile regression Skewness Uncertainty |
| URL | https://cepr.org/publications/dp15881 |
| 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/544873 |
| 推荐引用方式 GB/T 7714 | Mario Forni,Luca Gambetti,Luca Sala. DP15881 Downside and Upside Uncertainty Shocks. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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