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Uncertainty Shocks in Times of Low and High Uncertainty

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  • Grimme, Christian
  • Henzel, Steffen

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  • Grimme, Christian & Henzel, Steffen, 2023. "Uncertainty Shocks in Times of Low and High Uncertainty," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277629, Verein für Socialpolitik / German Economic Association.
    • Handle: RePEc:zbw:vfsc23:277629
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    2. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2021. "Uncertainty shocks and the great recession: Nonlinearities matter," Economics Letters, Elsevier, vol. 198(C).
    3. Susanto Basu & Brent Bundick, 2017. "Uncertainty Shocks in a Model of Effective Demand," Econometrica, Econometric Society, vol. 85, pages 937-958, May.
    4. Bachmann, Rüdiger & Born, Benjamin & Elstner, Steffen & Grimme, Christian, 2019. "Time-varying business volatility and the price setting of firms," Journal of Monetary Economics, Elsevier, vol. 101(C), pages 82-99.
    5. Alessandri, Piergiorgio & Mumtaz, Haroon, 2019. "Financial regimes and uncertainty shocks," Journal of Monetary Economics, Elsevier, vol. 101(C), pages 31-46.
    6. Caggiano, Giovanni & Castelnuovo, Efrem & Groshenny, Nicolas, 2014. "Uncertainty shocks and unemployment dynamics in U.S. recessions," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 78-92.
    7. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
    8. 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.
    9. Diego Comin & Sunil Mulani, 2006. "Diverging Trends in Aggregate and Firm Volatility," The Review of Economics and Statistics, MIT Press, vol. 88(2), pages 374-383, May.
    10. Balleer, Almut & Hristov, Nikolay & Menno, Dominik, 2020. "Menu costs, the price gap distribution and monetary non-neutrality: The role of financial constraints," CEPR Discussion Papers 11790, C.E.P.R. Discussion Papers.
    11. Steffen R. Henzel & Malte Rengel, 2017. "Dimensions Of Macroeconomic Uncertainty: A Common Factor Analysis," Economic Inquiry, Western Economic Association International, vol. 55(2), pages 843-877, April.
    12. Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015. "Measuring Uncertainty," American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.
    13. R?diger Bachmann & Steffen Elstner & Eric R. Sims, 2013. "Uncertainty and Economic Activity: Evidence from Business Survey Data," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(2), pages 217-249, April.
    14. Matteo Cacciatore & Federico Ravenna, 2021. "Uncertainty, Wages and the Business Cycle," The Economic Journal, Royal Economic Society, vol. 131(639), pages 2797-2823.
    15. Cristina Arellano & Yan Bai & Patrick J. Kehoe, 2019. "Financial Frictions and Fluctuations in Volatility," Journal of Political Economy, University of Chicago Press, vol. 127(5), pages 2049-2103.
    16. Born, Benjamin & Pfeifer, Johannes, 2014. "Policy risk and the business cycle," Journal of Monetary Economics, Elsevier, vol. 68(C), pages 68-85.
    17. Jae Sim & Egon Zakrajsek & Simon Gilchrist, 2010. "Uncertainty, Financial Frictions, and Investment Dynamics," 2010 Meeting Papers 1285, Society for Economic Dynamics.
    18. Bijsterbosch, Martin & Guérin, Pierre, 2013. "Characterizing very high uncertainty episodes," Economics Letters, Elsevier, vol. 121(2), pages 239-243.
    19. Jones, Paul M. & Enders, Walter, 2016. "The Asymmetric Effects Of Uncertainty On Macroeconomic Activity," Macroeconomic Dynamics, Cambridge University Press, vol. 20(5), pages 1219-1246, July.
    20. Caggiano, Giovanni & Castelnuovo, Efrem & Figueres, Juan Manuel, 2017. "Economic policy uncertainty and unemployment in the United States: A nonlinear approach," Economics Letters, Elsevier, vol. 151(C), pages 31-34.
    21. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, May.
    22. Almut Balleer & Nikolay Hristov & Dominik Menno, 2017. "Financial Constraints and Nominal Price Rigidities," CESifo Working Paper Series 6309, CESifo.
    23. 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.
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    More about this item

    JEL classification:

    • 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
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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