| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23676 |
| 来源ID | Working Paper 23676 |
| Short and Long Run Uncertainty | |
| Jose Maria Barrero; Nicholas Bloom; Ian Wright | |
| 发表日期 | 2017-08-28 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Uncertainty appears to have both a short-run and a long-run component, which we measure using firm and macro implied volatility data from options of 30 days to 10 years duration. We ask what may be driving uncertainty over these different time horizons, finding that oil price volatility is particularly important for short-run uncertainty, policy uncertainty is particularly important for long-run uncertainty, while currency volatility and CEO turnover appear to equally impact short- and long-run uncertainty. Examining a panel of over 4,000 firms from 1996 to 2013 we find that R&D is relatively more sensitive to long-run uncertainty than investment, and in turn investment is relatively more sensitive to long-run uncertainty than hiring. In a simulation model we investigate the channels underlying this pecking-order response to long-run uncertainty, and show that lower depreciation rates and higher adjustment costs lead R&D and investment to be more sensitive to longer-run uncertainty than hiring. Collectively, these results suggest that recent events that have raised long-run policy uncertainty may be particularly damaging to growth by reducing R&D and investment. |
| 主题 | Macroeconomics ; Consumption and Investment |
| URL | https://www.nber.org/papers/w23676 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581397 |
| 推荐引用方式 GB/T 7714 | Jose Maria Barrero,Nicholas Bloom,Ian Wright. Short and Long Run Uncertainty. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23676.pdf（664KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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