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: | , |
|---|---|
| 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 |
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Expected, unexpected, good and bad aggregate uncertaintyUribe Gil, Jorge MarioChuliá, Helenaaggregate uncertaintyasset priceseconomic activitynonlinear effectsincertesa agregadapreu dels actiusactivitat econòmicaefectes no linealsincertidumbre agregadaprecios de los activosactividad económicaefectos no linealesCapital assets pricing modelEconomics--Mathematical modelsEconomia--Models matemàticsEconomía -- Modelos matemáticosWe 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.Studies in Nonlinear Dynamics & EconometricsUniversitat de Barcelona (UB)Universitat Oberta de Catalunya (UOC)202220222022info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/pdfhttps://hdl.handle.net/10609/143566http://doi.org/10.1515/snde-2020-0127reponame:O2, repositorio institucional de la UOCinstname:Universitat Oberta de Catalunya (UOC)InglésStudies in Nonlinear Dynamics & Econometrics, 2022https://doi.org/10.1515/snde-2020-0127info:eu-repo/grantAgreement/ES/ECO2016-76203-C2-2-P/CC BY 4.0http://creativecommons.org/licenses/by/4.0Attribution 4.0https://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessoai:openaccess.uoc.edu:10609/1435662026-05-28T12:42:01Z |
| dc.title.none.fl_str_mv |
Expected, unexpected, good and bad aggregate uncertainty |
| title |
Expected, unexpected, good and bad aggregate uncertainty |
| spellingShingle |
Expected, unexpected, good and bad aggregate uncertainty Uribe Gil, Jorge Mario 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 |
| title_short |
Expected, unexpected, good and bad aggregate uncertainty |
| title_full |
Expected, unexpected, good and bad aggregate uncertainty |
| title_fullStr |
Expected, unexpected, good and bad aggregate uncertainty |
| title_full_unstemmed |
Expected, unexpected, good and bad aggregate uncertainty |
| title_sort |
Expected, unexpected, good and bad aggregate uncertainty |
| dc.creator.none.fl_str_mv |
Uribe Gil, Jorge Mario Chuliá, Helena |
| author |
Uribe Gil, Jorge Mario |
| author_facet |
Uribe Gil, Jorge Mario Chuliá, Helena |
| author_role |
author |
| author2 |
Chuliá, Helena |
| author2_role |
author |
| dc.contributor.none.fl_str_mv |
Universitat de Barcelona (UB) Universitat Oberta de Catalunya (UOC) |
| dc.subject.none.fl_str_mv |
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 |
| topic |
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 |
| description |
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. |
| publishDate |
2022 |
| dc.date.none.fl_str_mv |
2022 2022 2022 |
| dc.type.none.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
| format |
article |
| status_str |
publishedVersion |
| dc.identifier.none.fl_str_mv |
https://hdl.handle.net/10609/143566 http://doi.org/10.1515/snde-2020-0127 |
| url |
https://hdl.handle.net/10609/143566 http://doi.org/10.1515/snde-2020-0127 |
| dc.language.none.fl_str_mv |
Inglés |
| language_invalid_str_mv |
Inglés |
| dc.relation.none.fl_str_mv |
Studies in Nonlinear Dynamics & Econometrics, 2022 https://doi.org/10.1515/snde-2020-0127 info:eu-repo/grantAgreement/ES/ECO2016-76203-C2-2-P/ |
| dc.rights.none.fl_str_mv |
CC BY 4.0 http://creativecommons.org/licenses/by/4.0 Attribution 4.0 https://creativecommons.org/licenses/by/4.0/ info:eu-repo/semantics/openAccess |
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CC BY 4.0 http://creativecommons.org/licenses/by/4.0 Attribution 4.0 https://creativecommons.org/licenses/by/4.0/ |
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openAccess |
| dc.format.none.fl_str_mv |
application/pdf application/pdf |
| dc.publisher.none.fl_str_mv |
Studies in Nonlinear Dynamics & Econometrics |
| publisher.none.fl_str_mv |
Studies in Nonlinear Dynamics & Econometrics |
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reponame:O2, repositorio institucional de la UOC instname:Universitat Oberta de Catalunya (UOC) |
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Universitat Oberta de Catalunya (UOC) |
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O2, repositorio institucional de la UOC |
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O2, repositorio institucional de la UOC |
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15,301603 |