| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15965 |
| DP15965 Measuring Uncertainty and Its Effects in the COVID-19 Era | |
| Massimiliano Marcellino; Andrea Carriero; Todd Clark; Elmar Mertens | |
| 发表日期 | 2021-03-25 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We measure the effects of the COVID-19 outbreak on uncertainty, and we assess the consequences of the uncertainty for key economic variables. We use a large, heteroskedastic vector autoregression (VAR) in which the error volatilities share two common factors, interpreted as macro and financial uncertainty. Macro and financial uncertainty are allowed to contemporaneously affect the macroeconomy and financial conditions, with changes in the common component of the volatilities providing contemporaneous identifying information on uncertainty. We also consider an extended version of the model that accommodates outliers in volatility, to reduce the influence of extreme observations from the COVID period. Our estimates yield very large increases in macroeconomic and financial uncertainty since the onset of the COVID-19 period. These increases have contributed to the downturn in economic and financial conditions, but the contributions of uncertainty are small compared to the overall movements in many macroeconomic and financial indicators. That implies that the downturn is driven more by other dimensions of the COVID crisis than shocks to aggregate uncertainty (as measured by our method). |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Bayesian vars stochastic volatility Pandemics |
| URL | https://cepr.org/publications/dp15965 |
| 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/544955 |
| 推荐引用方式 GB/T 7714 | Massimiliano Marcellino,Andrea Carriero,Todd Clark,et al. DP15965 Measuring Uncertainty and Its Effects in the COVID-19 Era. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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