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Are the effects of Bloom’s uncertainty shocks robust?

Listed author(s):
  • Choi, Sangyup

This paper shows that “wait-and-see” dynamics of uncertainty shocks in Bloom (2009) are not necessarily robust over time. Bloom (2009) shows that uncertainty shocks, identified by spikes in stock market volatility from 1962 to 2008, trigger immediate falls in output and employment followed by rapid rebounds after the resolution of uncertainty. This paper finds that if one splits the sample into two sub-samples these findings hold only for the period between 1962 and 1982. Stock market volatility shocks failed to produce “wait-and-see” dynamics after 1983.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165176513000761
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 119 (2013)
Issue (Month): 2 ()
Pages: 216-220

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Handle: RePEc:eee:ecolet:v:119:y:2013:i:2:p:216-220
DOI: 10.1016/j.econlet.2013.02.015
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Richard Clarida & Jordi Galí & Mark Gertler, 2000. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," The Quarterly Journal of Economics, Oxford University Press, vol. 115(1), pages 147-180.
  2. Susanto Basu & Brent Bundick, 2011. "Uncertainty Shocks in a Model of Effective Demand," Boston College Working Papers in Economics 774, Boston College Department of Economics, revised 01 Nov 2015.
  3. Fornari Fabio & Mele Antonio, 2013. "Financial Volatility and Economic Activity," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 2, pages 155-198, December.
  4. Thomas A. Lubik & Frank Schorfheide, 2004. "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, American Economic Association, vol. 94(1), pages 190-217, March.
  5. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, 05.
  6. Jon Cohen & Michelle Alexopoulos, 2009. "Uncertain Times, Uncertain Measures," 2009 Meeting Papers 1211, Society for Economic Dynamics.
  7. Margaret M. McConnell & Gabriel Perez-Quiros, 2000. "Output fluctuations in the United States: what has changed since the early 1980s?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
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