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The Nexus between Lockdown Shocks and Economic Uncertainty: Empirical Evidence from a VAR Model
The contribution of this paper is twofold. First, we introduce a daily vector autoregression (VAR) model for the US economy that allows discerning between lockdown shocks and a real business cycle shocks. With this methodology at hand, we then evaluate the impact of lockdown measures on economic un...
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| Опубликовано в:: | MAGKS - Joint Discussion Paper Series in Economics (Band 32-2021) |
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| Главный автор: | |
| Формат: | Статья |
| Язык: | английский |
| Опубликовано: |
Philipps-Universität Marburg
2021
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| Предметы: | |
| Online-ссылка: | PDF-полный текст |
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| Итог: | The contribution of this paper is twofold. First, we introduce a daily vector
autoregression (VAR) model for the US economy that allows discerning between lockdown shocks and a real business cycle shocks. With this methodology at hand, we then evaluate the impact of lockdown measures on economic uncertainty in a second step. Overall, we only find a moderate positive impact on uncertainty levels that is, in particular, weaker than the impact of the real business cycle shock. Taking a more granular perspective, we observe that in particular uncertainty related to entitlement programs increases and monetary policy uncertainty decreases after a lockdown shock. |
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| Объем: | 17 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0705 |