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Measuring the origins of macroeconomic uncertainty

Author

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  • Haroon Mumtaz

    (Queen Mary University of London)

Abstract

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the 'origin' of a change in overall macroeconomic uncertainty. To demonstrate the proposed method we consider two applications. First, we estimate UK macroeconomic uncertainty due to external shocks and show that this component has become increasingly important over time for overall uncertainty. Second, we estimate US macroeconomic uncertainty conditioned on monetary policy shocks with the results suggesting that while policy uncertainty was important during early 1980s, recent contributions are estimated to be modest.

Suggested Citation

  • Haroon Mumtaz, 2018. "Measuring the origins of macroeconomic uncertainty," Working Papers 864, Queen Mary University of London, School of Economics and Finance.
  • Handle: RePEc:qmw:qmwecw:864
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    File URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2018/wp864.pdf
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    References listed on IDEAS

    as
    1. Timothy Cogley & Thomas J. Sargent, 2005. "Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April.
    2. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 69-87, January.
    3. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comments: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 413-417, October.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    FAVAR; Stochastic volatility; Proxy VAR; Uncertainty measurement;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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