文章基本信息

标题：Characterizing very high uncertainty episodes
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作者：Martin Bijsterbosch ; Pierre Guérin
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：This paper uses a two-step approach to characterize the evolution of US macroe-conomic and nancial variables during episodes of very high uncertainty. First, weidentify episodes of very high uncertainty using a regime-switching model. Second,we assess the behavior of macroeconomic and nancial variables during these episodesof very high uncertainty. This methodology is analogous to the approach followedby Baele et al. (2013), who study episodes of ights to safety in nancial markets.We nd that very high uncertainty episodes are associated with a weaker growthperformance and sharp declines in stock prices. However, we nd that this relation isnon-linear in that uncertainty does not seem to matter during periods characterizedby medium or low uncertainty.
关键词：Uncertainty; Markov-switching; Survey data.