Skema > Faculty and Research > Publication-details





What are the macroeconomic effects of high-frequency uncertainty shocks?
2018, Journal of Applied Econometrics, 33(5), pp.662-679
This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables representative of the US economy. Rather than estimating models at the same common low frequency, we use recently developed econometric models, which allow us to deal with data of different sampling frequencies. We find that credit and labor market variables react the most to uncertainty shocks in that they exhibit a prolonged negative response to such shocks. When looking at detailed investment subcategories, our estimates suggest that the most irreversible investment projects are the most affected by uncertainty shocks. We also find that the responses of macroeconomic variables to uncertainty shocks are relatively similar across single-frequency and mixed-frequency data models, suggesting that the temporal aggregation bias is not acute in this context.

Why choose SKEMA?
At the top of French and international rankings SEE RANKINGS
A global business school SEE SKEMA NEWS
A wide range of programmes COMPARE