The macro and asset pricing implications of rising Italian uncertainty: evidence from a novel news-based macroeconomic policy uncertainty index

DOI10.1016/J.ECONLET.2020.109606MaRDI QIDQ2226833zbMATH OpenOpenAlexFDO

Authors Michael Donadelli, Ivan Gufler, Paolo Pellizzari

Publication date 9 February 2021

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10278/3733554

zbMATH Keywords

policy-related newsRBCstock returnsuncertainty

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Financial markets (91G15)

Recommendations

• DIVIDENDS AND UNCERTAINTY: EVIDENCE FROM THE ITALIAN MARKET
• Uncertainty and the real effects of monetary policy shocks in the euro area
• The origins and effects of macroeconomic uncertainty
• Macroeconomic uncertainty prices when beliefs are tenuous
• The macroeconomic effects of uncertainty shocks: the role of the financial channel
• Uncertainty-dependent effects of monetary policy shocks: a new-Keynesian interpretation
• Caution in macroeconomic policy: Uncertainty and the relative intensity of policy

Cites work

• Generalized impulse response analysis in linear multivariate models
• Hypothesis Testing with Efficient Method of Moments Estimation

Cited in

(1)

• A century of economic policy uncertainty through the French-Canadian Lens

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