Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty

Abstract

developed measures of partisan conflict, geopolitical risks and news-based VIX (NVIX). 5 These authors indicate that although in a general sense uncertainty is defined as the conditional volatility of an unforecastable disturbance, the empirical literature has usually relied on, which in turn can pick up fluctuations that are actually predictable and hence, can erroneously be attributable to uncertainty. Thus, it is important to distinguish between uncertainty in a series and its conditional volatility, i.e., properly measuring uncertainty would require one to remove the forecastable component of the considered series before computing the conditional volatility. In this sense, uncertainty in a series is not necessarily equivalent to the conditional volatility of the raw

Time-Varying impact of uncertainty shocks on macroeconomic variables of the united kingdom: Evidence from over 150 years of monthly data

“…1 While, the existing theories of uncertainty are relatively old and well-established, the need to measure uncertainty -a latent variable, and empirically quantify its impact on the macroeconomy, only gained momentum in the wake of the "Great Recession" in the United States (US), and the Global Financial Crisis (GFC) that followed thereafter. This has resulted in a plethora of studies analysing the impact of uncertainty on macroeconomic variables (and financial markets 2 ), for not only the US, but also for other advanced and emerging market economies (see for example, Bloom (2014Bloom ( , 2017 and Castelnuovo, et al, (2017), Gupta et al, (2018Gupta et al, ( , 2019 for detailed reviews of this literature). 3 The existing studies have however, only analysed post World War II data.…”

Asymmetric dynamics between uncertainty and unemployment flows in the United States

“…Finally, the quantile-causality analysis verifies whether effects of uncertainty on unemployment are symmetric over different states (quantiles) of the U.S. economy. To our knowledge, only the work of Gupta et al (2018) analyzes how uncertainty shocks affect the U.S. economic activity using a quantile regression framework. However, they overlook Granger-causality-in-quantile tests between uncertainty and unemployment and nonlinear specifications.…”

The role of real estate uncertainty in predicting US home sales growth: evidence from a quantiles-based Bayesian model averaging approach

“…More recently, in the wake of the "Great Recession", large number of studies have attempted to measure uncertainty (a latent variable) using various methods, and have also analysed the impact of the same on the general macroeconomy and the financial sector (see, Chuliá et al, (2017) and Gupta et al, (2018) for detailed reviews in this regard). Building on this line of research, and given the role of the housing sector in the global financial crisis, Nguyen-Thanh et al, (2018) has recently developed a real estate-specific measure of uncertainty.…”