Show simple item record

dc.contributor.authorPesaran, H.en
dc.contributor.authorCesa-Bianchi, A.en
dc.contributor.authorRebucci, A.en
dc.date.accessioned2016-04-22T15:00:54Z
dc.date.available2016-04-22T15:00:54Z
dc.date.issued2014-05-19en
dc.identifier.otherCWPE1407
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/255220
dc.description.abstractThe 2007-2008 global _financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on further assume that these common factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, we show analytically that volatility is forward looking and that the output equation of a typical VAR estimated in the literature is mis-specified as least squares estimates of this equation are inconsistent. Empirically, we document a statistically significant and economically sizable impact of future output growth on current volatility, and no effect of volatility shocks on business cycles, over and above those driven by the common factors. We interpret this evidence as suggesting that volatility is a symptom rather than a cause of economic instability.en
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subjectGVARen
dc.subjectGreat Recessionen
dc.subjectIdenti cationen
dc.subjectBusiness Cycleen
dc.subjectCommon Factors.en
dc.titleUncertainty and Economic Activity: A Global Perspectiveen
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.4957


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record