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Does uncertainty affect real activity? Evidence from state-level data

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  • Mumtaz, Haroon

Abstract

We use variation in the effect of US-wide or global uncertainty on state-level uncertainty to identify the impact of this shock on real activity. We find that increases in uncertainty do have an adverse impact on real income, employment and unemployment. Thus, uncertainty shocks can be a source of economic fluctuations.

Suggested Citation

  • Mumtaz, Haroon, 2018. "Does uncertainty affect real activity? Evidence from state-level data," Economics Letters, Elsevier, vol. 167(C), pages 127-130.
    • Handle: RePEc:eee:ecolet:v:167:y:2018:i:c:p:127-130
    DOI: 10.1016/j.econlet.2018.03.026
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    References listed on IDEAS

    as
    1. Mumtaz, Haroon & Theodoridis, Konstantinos, 2017. "Common and country specific economic uncertainty," Journal of International Economics, Elsevier, vol. 105(C), pages 205-216.
    2. Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015. "Measuring Uncertainty," American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.
    3. Giovanni Angelini & Emanuele Bacchiocchi & Giovanni Caggiano & Luca Fanelli, 2019. "Uncertainty across volatility regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 437-455, April.
    4. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, May.
    5. repec:zbw:bofrdp:2017_035 is not listed on IDEAS
    6. Emi Nakamura & J?n Steinsson, 2014. "Fiscal Stimulus in a Monetary Union: Evidence from US Regions," American Economic Review, American Economic Association, vol. 104(3), pages 753-792, March.
    7. Sydney C. Ludvigson & Sai Ma & Serena Ng, 2021. "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(4), pages 369-410, October.
    8. Haroon Mumtaz & Laura Sunder‐Plassmann & Angeliki Theophilopoulou, 2018. "The State‐Level Impact of Uncertainty Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(8), pages 1879-1899, December.
    9. Haroon Mumtaz & Laura Sunder‐Plassmann & Angeliki Theophilopoulou, 2018. "The State‐Level Impact of Uncertainty Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(8), pages 1879-1899, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Uncertainty shocks; Instrumental variables; US states;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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