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The State‐Level Impact of Uncertainty Shocks

Author

Listed:
  • HAROON MUMTAZ
  • LAURA SUNDER‐PLASSMANN
  • ANGELIKI THEOPHILOPOULOU

Abstract

This paper estimates the impact of uncertainty shocks on real income growth in U.S. states. Our results suggest that the effect is heterogeneous. The magnitude of the decline in income is largest in states with a large share of manufacturing and construction industries, a larger share of small firms, a high fiscal deficit, a less rigid labor market, and a more volatile housing market. In contrast, a higher share of mining industries and larger intergovernmental fiscal transfers ameliorate the impact of uncertainty.

Suggested Citation

  • 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.
    • Handle: RePEc:wly:jmoncb:v:50:y:2018:i:8:p:1879-1899
    DOI: 10.1111/jmcb.12509
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    More about this item

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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