Please use this identifier to cite or link to this item:
http://hdl.handle.net/10609/143566
Title: | Expected, unexpected, good and bad aggregate uncertainty |
Author: | Uribe Gil, Jorge Mario Chuliá, Helena |
Others: | Universitat de Barcelona (UB) Universitat Oberta de Catalunya (UOC) |
Citation: | Uribe, J.M. & Chuliá Soler, H. (2022). Expected, unexpected, good and bad aggregate uncertainty. Studies in Nonlinear Dynamics & Econometrics, null(null), 1-20. doi: 10.1515/snde-2020-0127 |
Abstract: | We study aggregate uncertainty and its linear and nonlinear impact on real and financial markets. By distinguishing between four general notions of aggregate uncertainty (good-expected, bad-expected, good-unexpected, bad-unexpected) within a simple, common framework, we show that it is bad-unexpected uncertainty shocks that generate a negative reaction of economic variables (such as investment and consumption) and asset prices. Our results help to elucidate the real, complex nature of uncertainty, which can be both a backward- or forward-looking expected or unexpected event, with markedly different consequences for the economy. We also document nonlinearities in the propagation of uncertainty to both real and financial markets, which calls for the close monitoring of the evolution of uncertainty so as to help mitigate the adverse effects of its occurrence. |
Keywords: | aggregate uncertainty asset prices economic activity nonlinear effects |
DOI: | http://doi.org/0.1515/snde-2020-0127 |
Document type: | info:eu-repo/semantics/article |
Version: | info:eu-repo/semantics/publishedVersion |
Issue Date: | 2-Feb-2022 |
Publication license: | https://creativecommons.org/licenses/by/4.0/ |
Appears in Collections: | Articles Articles cientÍfics |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
10.1515_snde-2020-0127.pdf | 1,65 MB | Adobe PDF | View/Open |
Share:
This item is licensed under a Creative Commons License