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This paper investigates whether the effects of uncertainty shocks on the French economy are heterogeneous. By exploiting two different measures of uncertainty, one reflecting policy uncertainty and another one reflecting financial uncertainty, I find important discrepancies in the responses of French macro-variables. In particular, consumption and employment do not respond significantly to a financial uncertainty shock while they significantly decrease after a policy uncertainty shock. Furthermore, in contrast to policy uncertainty, financial uncertainty is not a major driver of business cycles fluctuations in France. This result is in stark contrast with the empirical evidence based on U.S. data, for which regardless its origins uncertainty impedes economic activity in a similar fashion

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  • Idriss Fontaine

    (University of Cergy-Pontoise - THEMA)

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  • Idriss Fontaine, 2017. "This paper investigates whether the effects of uncertainty shocks on the French economy are heterogeneous. By exploiting two different measures of uncertainty, one reflecting policy uncertainty and an," Economics Bulletin, AccessEcon, vol. 37(4), pages 2835-2845.
    • Handle: RePEc:ebl:ecbull:eb-17-00666
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    References listed on IDEAS

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    5. 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.
    6. Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2016. "Measuring Economic Policy Uncertainty," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 131(4), pages 1593-1636.
    7. Ben S. Bernanke, 1983. "Irreversibility, Uncertainty, and Cyclical Investment," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 98(1), pages 85-106.
    8. Leduc, Sylvain & Liu, Zheng, 2016. "Uncertainty shocks are aggregate demand shocks," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 20-35.
    9. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
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    More about this item

    Keywords

    Policy uncertainty; Financial uncertainty; France; Macroeconomic fluctuations;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment

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