Expected, unexpected, good and bad aggregate uncertainty
We study aggregate uncertainty and its linear and nonlinear impact on real and financial markets. By distinguishing between four general notions of aggregate uncertainty (good-expected, bad-expected, good-unexpected, bad-unexpected) within a simple, common framework, we show that it is bad-unexpecte...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2022 |
| País: | España |
| Institución: | Universitat Oberta de Catalunya (UOC) |
| Repositorio: | O2, repositorio institucional de la UOC |
| OAI Identifier: | oai:openaccess.uoc.edu:10609/143566 |
| Acceso en línea: | https://hdl.handle.net/10609/143566 http://doi.org/10.1515/snde-2020-0127 |
| Access Level: | acceso abierto |
| Palabra clave: | aggregate uncertainty asset prices economic activity nonlinear effects incertesa agregada preu dels actius activitat econòmica efectes no lineals incertidumbre agregada precios de los activos actividad económica efectos no lineales Capital assets pricing model Economics--Mathematical models Economia--Models matemàtics Economía -- Modelos matemáticos |
| Sumario: | We study aggregate uncertainty and its linear and nonlinear impact on real and financial markets. By distinguishing between four general notions of aggregate uncertainty (good-expected, bad-expected, good-unexpected, bad-unexpected) within a simple, common framework, we show that it is bad-unexpected uncertainty shocks that generate a negative reaction of economic variables (such as investment and consumption) and asset prices. Our results help to elucidate the real, complex nature of uncertainty, which can be both a backward- or forward-looking expected or unexpected event, with markedly different consequences for the economy. We also document nonlinearities in the propagation of uncertainty to both real and financial markets, which calls for the close monitoring of the evolution of uncertainty so as to help mitigate the adverse effects of its occurrence. |
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