Data di Pubblicazione:
2020
Citazione:
Forni, M., L., Gambetti e L., Sala. "Macroeconomic Uncertainty and Vector Autoregressions" Working paper, RECENT WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi – Università di Modena e Reggio Emilia, 2020.
Abstract:
We estimate macroeconomic uncertainty and the effects of uncertainty shocks by
means of a new procedure based on standard VARs. Under suitable assumptions,
our procedure is equivalent to using the square of the VAR forecast error as an external instrument in a proxy SVAR. We add orthogonality constraints to the standard
proxy SVAR identification scheme. We also derive a VAR-based measure of uncertainty. We apply our method to a US data set; we find that uncertainty is mainly
exogenous and is responsible of a large fraction of business-cycle fluctuations.
means of a new procedure based on standard VARs. Under suitable assumptions,
our procedure is equivalent to using the square of the VAR forecast error as an external instrument in a proxy SVAR. We add orthogonality constraints to the standard
proxy SVAR identification scheme. We also derive a VAR-based measure of uncertainty. We apply our method to a US data set; we find that uncertainty is mainly
exogenous and is responsible of a large fraction of business-cycle fluctuations.
Tipologia CRIS:
Working paper
Keywords:
Uncertainty shocks, OLS estimation, Stochastic volatility
Elenco autori:
Forni, M.; Gambetti, L.; Sala, L.
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