The macroeconomic effects of uncertainty shocks: the role of the financial channel

DOI10.1016/J.JEDC.2016.05.021MaRDI QIDQ1655740zbMATH OpenOpenAlexFDO

Authors Aaron Popp, Fang Zhang

Publication date 9 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2016.05.021

zbMATH Keywords

credit spreaddynamic factor analysisrecessionssmooth-transition vector autoregressionuncertainty shocks

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• An MCMC approach to classical estimation.
• Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
• DOES MONETARY POLICY GENERATE RECESSIONS?
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• Impulse response analysis in nonlinear multivariate models
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• The Impact of Uncertainty Shocks

Cited in

(22)

• Uncertainty shocks, banking frictions and economic activity
• Uncertainty and the real effects of monetary policy shocks in the euro area
• Accounting for the sources of macroeconomic tail risks
• Financial vs. policy uncertainty in emerging market economies
• The relative importance of monetary policy, uncertainty, and financial shocks
• Uncertainty shocks and unemployment dynamics
• Measuring macroeconomic uncertainty: a historical perspective
• The macro and asset pricing implications of rising Italian uncertainty: evidence from a novel news-based macroeconomic policy uncertainty index
• The impact of US financial uncertainty shocks on emerging market economies: an international credit channel
• Regime-dependent effects of uncertainty shocks: a structural interpretation
• Resolving Macroeconomic Uncertainty in Stock and Bond Markets
• Uncertainty shocks in a model of effective demand
• Macroeconomic Effects of Asset‐Price Shocks in a Globalized Financial Market
• Nexus between Indian financial markets and macro-economic shocks: a VAR approach
• UNCERTAINTY AND MONETARY POLICY DURING THE GREAT RECESSION
• Macroeconomic uncertainty and bank lending
• Macro uncertainty in the long run
• Dynamic industry uncertainty networks and the business cycle
• Understanding uncertainty shocks and the role of black swans
• Corporate earnings announcements and economic activity
• Sovereign uncertainty
• Revisiting the impact of US uncertainty shocks: new evidence from China's investment dynamics

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