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News and uncertainty shocks
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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 ISSN 0022-2879.
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Official URL: https://doi.org/10.1111/jmcb.12727
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 | ||||||||
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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: |
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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 (Creative Commons) | ||||||||
Date of first compliant deposit: | 21 January 2020 | ||||||||
Date of first compliant Open Access: | 2 September 2020 | ||||||||
Is Part Of: | 1 | ||||||||
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