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Asymmetric effects of news through uncertainty

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  • Forni, Mario
  • Gambetti, Luca
  • Sala, Luca

Abstract

Bad news about future economic developments have larger effects than good news. The result is obtained by means of a simple nonlinear approach based on SVAR and SVARX models. We interpret the asymmetry as arising from the uncertainty surrounding economic events whose effects are not perfectly predictable. Uncertainty generates adverse effects on the economy, amplifying the effects of bad news and mitigating the effects of good news.

Suggested Citation

  • Forni, Mario & Gambetti, Luca & Sala, Luca, 2024. "Asymmetric effects of news through uncertainty," Macroeconomic Dynamics, Cambridge University Press, vol. 28(1), pages 74-98, January.
    • Handle: RePEc:cup:macdyn:v:28:y:2024:i:1:p:74-98_4
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