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Uncertainty is bad for Business. Really?

Author

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  • Francisco Serranito

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Nicolas Himounet
  • Julien Vauday

Abstract

A growing empirical literature on how to measure uncertainty has emerged following the 2007-2008 financial crisis. We investigate the impact of uncertainty shocks according to their nature, applying local projection methods in a nonlinear framework. More precisely, we investigate the impact of uncertainty shocks according to their nature (nonfinancial and financial) in different regimes of general uncertainty: high, moderate and low. We get a positive and significant effect of the nonfinancial uncertainty shocks when the general level of uncertainty is high or moderate.

Suggested Citation

  • Francisco Serranito & Nicolas Himounet & Julien Vauday, 2023. "Uncertainty is bad for Business. Really?," Working Papers hal-04219283, HAL.
    • Handle: RePEc:hal:wpaper:hal-04219283
    Note: View the original document on HAL open archive server: https://hal.science/hal-04219283
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    More about this item

    Keywords

    Uncertainty; local projection methods; economic activity; nonlinear econometrics;
    All these keywords.

    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
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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