Please use this identifier to cite or link to this item:
Title: Expected, Unexpected, Good and Bad Uncertainty
Author: Chuliá Soler, Helena
Uribe Gil, Jorge Mario
Keywords: Incertesa (Teoria de la informació)
Condicions econòmiques
Presa de decisions
Control de preus
Uncertainty (Information theory)
Economic conditions
Decision making
Price regulation
Issue Date: 2019
Publisher: Universitat de Barcelona. Facultat d'Economia i Empresa
Series/Report no: [WP E-IR19/19]
Abstract: By distinguishing between four general notions of uncertainty (good expected, bad-expected, good-unexpected, bad-unexpected) within a common and simple framework, we show that it is bad-unexpected uncertainty shocks that generate a negative reaction of macroeconomic variables (such as investment and consumption), and asset prices. Other notions of uncertainty might produce even positive responses in the macroeconomy. We also show that small uncertainty shocks might have larger impacts on economic activity and financial markets than bigger shocks between one to three years after its realization. We explore the time and magnitude of uncertainty shocks by means of a novel distributed lag nonlinear model. Our results help to elucidate the real and complex nature of uncertainty, which can be both a backward or forward-looking expected or unexpected event, with markedly different consequences for the economy. They have implications for policy making, asset pricing and risk management.
Note: Reproducció del document publicat a:
It is part of: IREA – Working Papers, 2019, IR19/19
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

Files in This Item:
File Description SizeFormat 
IR19-019_Chulia+Uribe.pdf2.73 MBAdobe PDFView/Open

This item is licensed under a Creative Commons License Creative Commons