What are the macroeconomic effects of high‐frequency uncertainty shocks?

Abstract

Summary This paper evaluates the effects of high‐frequency uncertainty shocks on a set of low‐frequency macroeconomic variables representative of the US economy. Rather than estimating models at the same common low frequency, we use recently developed econometric models, which allow us to deal with data of different sampling frequencies. We find that credit and labor market variables react the most to uncertainty shocks in that they exhibit a prolonged negative response to such shocks. When looking at detailed investment subcategories, our estimates suggest that the most irreversible investment projects are the most affected by uncertainty shocks. We also find that the responses of macroeconomic variables to uncertainty shocks are relatively similar across single‐frequency and mixed‐frequency data models, suggesting that the temporal aggregation bias is not acute in this context.

The effect of oil supply shocks on US economic activity: What have we learned?

“…We conclude this section by noting that the main insights derived in this section are robust to using an estimation method that takes into account the mixed‐frequency nature of the structural shocks and US real GDP (see Figure A.5 in the Supporting Information Appendix). If we use a series of mixed data sampling (MIDAS) regressions to estimate the GDP responses using local projections (see ; Ferrara & Guérin, ; Jordà, ), the GDP responses for K09 and KM12 are very similar to those obtained without accounting for the mixed‐frequency nature of the data. The only noticeable differences are that the MIDAS regressions suggest a less persistent and smaller response of oil supply shocks for KM14 and a more persistent and pronounced response for BH19.…”

Is Economic Policy Uncertainty Related to Suicide Rates? Evidence from the United States

“…The third component uses disagreement among economic forecasters as a proxy for uncertainty. As increased economic policy uncertainty can lead to adverse domestic macroeconomic circumstances, such as intensifying recessions and weakening recoveries (Baker et al, 2013), depressing investments (Kang et al, 2014;Wang et al, 2014), industrial production (Baker et al, 2013) and stock prices (Pástor and Veronasi, 2012), and reducing employment (Baker et al, 2013;Ferrara and Gurin, 2015), it can cause abrupt changes in the socioeconomic position of certain groups, who, becoming conscious that what has been expected can no longer be achieved, may be led to commit suicide. Indeed, when economic policy uncertainty has sizable negative side-effects, leading to greater inequalities, impoverishment and social isolation or pessimistic expectations about life satisfaction in the future, suicide rates might increase namely through an emotional process associated with increased insecurity or shame of economic failure.…”

Economic Policy Uncertainty Spillovers in Booms and Busts

“…Hence, the e¤ects triggered by uncertainty shocks in recessions are likely to be di¤erent than those occurring in expansions. Recent evidence on the US economy along this line is provided by, among others, Nodari (2014), Caggiano, Castelnuovo, andGroshenny (2014), Ferrara and Guérin (2015), Nodari (2017), andFigueres (2017), while Casarin, Foroni, Marcellino, and Ravazzolo (2016) …nd evidence in favor of state-dependent uncertainty-related coe¢ cients in a panel approach modeling the US, a number of European countries, and Japan.…”