Matches in SemOpenAlex for { <https://semopenalex.org/work/W4214698914> ?p ?o ?g. }
Showing items 1 to 70 of
70
with 100 items per page.
- W4214698914 abstract "We propose a new framework for measuring uncertainty and its effects on the economy, based on a large VAR model with errors whose stochastic volatility is driven by two common unobservable factors, representing aggregate macroeconomic and financial uncertainty. The uncertainty measures can also influence the levels of the variables so that, contrary to most existing measures, ours reflect changes in both the conditional mean and volatility of the variables, and their impact on the economy can be assessed within the same framework. Moreover, identification of the uncertainty shocks is simplified with respect to standard VAR-based analysis, in line with the FAVAR approach and with heteroskedasticity-based identification. Finally, the model, which is also applicable in other contexts, is estimated with a new Bayesian algorithm, which is computationally efficient and allows for jointly modeling many variables, while previous VAR models with stochastic volatility could only handle a handful of variables. Empirically, we apply the method to estimate uncertainty and its effects using US data, finding that there is indeed substantial commonality in uncertainty, sizable effects of uncertainty on key macroeconomic and financial variables with responses in line with economic theory." @default.
- W4214698914 created "2022-03-02" @default.
- W4214698914 creator A5065544496 @default.
- W4214698914 creator A5070248488 @default.
- W4214698914 creator A5082187758 @default.
- W4214698914 date "2016-10-14" @default.
- W4214698914 modified "2023-09-30" @default.
- W4214698914 title "Measuring Uncertainty and Its Impact on the Economy" @default.
- W4214698914 doi "https://doi.org/10.26509/wp-201622" @default.
- W4214698914 hasPublicationYear "2016" @default.
- W4214698914 type Work @default.
- W4214698914 citedByCount "1" @default.
- W4214698914 countsByYear W42146989142018 @default.
- W4214698914 crossrefType "report-series" @default.
- W4214698914 hasAuthorship W4214698914A5065544496 @default.
- W4214698914 hasAuthorship W4214698914A5070248488 @default.
- W4214698914 hasAuthorship W4214698914A5082187758 @default.
- W4214698914 hasBestOaLocation W42146989141 @default.
- W4214698914 hasConcept C101104100 @default.
- W4214698914 hasConcept C107673813 @default.
- W4214698914 hasConcept C116834253 @default.
- W4214698914 hasConcept C137703641 @default.
- W4214698914 hasConcept C149782125 @default.
- W4214698914 hasConcept C154945302 @default.
- W4214698914 hasConcept C159985019 @default.
- W4214698914 hasConcept C162324750 @default.
- W4214698914 hasConcept C192562407 @default.
- W4214698914 hasConcept C23922673 @default.
- W4214698914 hasConcept C2780695315 @default.
- W4214698914 hasConcept C41008148 @default.
- W4214698914 hasConcept C4679612 @default.
- W4214698914 hasConcept C59822182 @default.
- W4214698914 hasConcept C85393063 @default.
- W4214698914 hasConcept C86803240 @default.
- W4214698914 hasConcept C91602232 @default.
- W4214698914 hasConceptScore W4214698914C101104100 @default.
- W4214698914 hasConceptScore W4214698914C107673813 @default.
- W4214698914 hasConceptScore W4214698914C116834253 @default.
- W4214698914 hasConceptScore W4214698914C137703641 @default.
- W4214698914 hasConceptScore W4214698914C149782125 @default.
- W4214698914 hasConceptScore W4214698914C154945302 @default.
- W4214698914 hasConceptScore W4214698914C159985019 @default.
- W4214698914 hasConceptScore W4214698914C162324750 @default.
- W4214698914 hasConceptScore W4214698914C192562407 @default.
- W4214698914 hasConceptScore W4214698914C23922673 @default.
- W4214698914 hasConceptScore W4214698914C2780695315 @default.
- W4214698914 hasConceptScore W4214698914C41008148 @default.
- W4214698914 hasConceptScore W4214698914C4679612 @default.
- W4214698914 hasConceptScore W4214698914C59822182 @default.
- W4214698914 hasConceptScore W4214698914C85393063 @default.
- W4214698914 hasConceptScore W4214698914C86803240 @default.
- W4214698914 hasConceptScore W4214698914C91602232 @default.
- W4214698914 hasLocation W42146989141 @default.
- W4214698914 hasLocation W42146989142 @default.
- W4214698914 hasLocation W42146989143 @default.
- W4214698914 hasOpenAccess W4214698914 @default.
- W4214698914 hasPrimaryLocation W42146989141 @default.
- W4214698914 hasRelatedWork W1589470461 @default.
- W4214698914 hasRelatedWork W2118743060 @default.
- W4214698914 hasRelatedWork W2595080303 @default.
- W4214698914 hasRelatedWork W3036387896 @default.
- W4214698914 hasRelatedWork W3121770792 @default.
- W4214698914 hasRelatedWork W3123582727 @default.
- W4214698914 hasRelatedWork W3125784162 @default.
- W4214698914 hasRelatedWork W4214557366 @default.
- W4214698914 hasRelatedWork W4255996875 @default.
- W4214698914 hasRelatedWork W1832231295 @default.
- W4214698914 isParatext "false" @default.
- W4214698914 isRetracted "false" @default.
- W4214698914 workType "paratext" @default.