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Article dans une revue Journal of Applied Econometrics Année : 2018

What are the macroeconomic effects of high-frequency uncertainty shocks?

Laurent Ferrara
Pierre Guérin
  • Fonction : Auteur

Résumé

This paper evaluates the effects of high‐frequency uncertainty shocks on a set of low‐frequency macroeconomic variables representative of the US economy. Rather than estimating models at the same common low frequency, we use recently developed econometric models, which allow us to deal with data of different sampling frequencies. We find that credit and labor market variables react the most to uncertainty shocks in that they exhibit a prolonged negative response to such shocks. When looking at detailed investment subcategories, our estimates suggest that the most irreversible investment projects are the most affected by uncertainty shocks. We also find that the responses of macroeconomic variables to uncertainty shocks are relatively similar across single‐frequency and mixed‐frequency data models, suggesting that the temporal aggregation bias is not acute in this context.
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hal-02334586, version 1 (26-10-2019)

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  • HAL Id : hal-02334586 , version 1

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Laurent Ferrara, Pierre Guérin. What are the macroeconomic effects of high-frequency uncertainty shocks?. Journal of Applied Econometrics, 2018, 33, pp.662-678. ⟨hal-02334586⟩
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