Cascaldi-Garcia, Danilo and Galvao, Ana Beatriz (2021) News and uncertainty shocks. Journal of Money Credit and Banking, 53 (4). pp. 779-811. doi:10.1111/jmcb.12727

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Abstract

We provide novel evidence that technological news and uncertainty shocks, identified one at a time using vector autoregressive (VAR) models as in the literature, are correlated; that is, they are not truly structural . We then proceed by proposing an identification scheme to disentangle the effects of news and financial uncertainty shocks. We find that by removing financial uncertainty effects from news shocks, the positive responses of economic activity to news shocks are strengthened in the short term; and that the negative responses of activity to financial uncertainty shocks are deepened in the medium term as “good uncertainty” effects on technology are purged.

Item Type:	Journal Article
Divisions:	Faculty of Social Sciences > Warwick Business School
Journal or Publication Title:	Journal of Money Credit and Banking
Publisher:	Wiley
ISSN:	0022-2879
Official Date:	June 2021
Dates:	Date Event June 2021 Published 18 August 2020 Available 9 January 2020 Accepted
Volume:	53
Number:	4
Page Range:	pp. 779-811
DOI:	10.1111/jmcb.12727
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Open Access
Related URLs:	Publisher

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