Using Disasters to Estimate the Impact of Uncertainty

IF 5.9 1区经济学 Q1 ECONOMICS

Review of Economic Studies Pub Date : 2023-03-23 DOI:10.1093/restud/rdad036

Scott R Baker, Nicholas Bloom, Stephen J Terry

引用次数: 2

Abstract

Abstract Uncertainty rises in recessions and falls in booms. But what is the causal relationship? We construct cross-country panel data on stock market returns to proxy for first- and second-moment shocks and instrument these with natural disasters, terrorist attacks, and political shocks. Our IV regression results reveal a robust negative short-term impact of second moments (uncertainty) on growth. Employing multiple vector autoregression estimation approaches, relying on a range of identifying assumptions, also reveals a negative impact of uncertainty on growth. Finally, we show that these results are reproducible in a conventional micro–macro business cycle model with time-varying uncertainty.

查看原文本刊更多论文

利用灾害来估计不确定性的影响

不确定性在衰退时上升，在繁荣时下降。但是因果关系是什么呢?我们构建了股票市场收益的跨国面板数据，以代表第一和第二时刻的冲击，并将这些数据与自然灾害、恐怖袭击和政治冲击相结合。我们的IV回归结果揭示了第二时刻(不确定性)对增长的强劲负面短期影响。采用多向量自回归估计方法，依赖于一系列识别假设，也揭示了不确定性对增长的负面影响。最后，我们证明了这些结果在具有时变不确定性的传统微观-宏观经济周期模型中是可重复的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Review of Economic Studies ECONOMICS-

CiteScore

10.40

自引率

3.40%

发文量

期刊介绍： Founded in 1933 by a group of young British and American economists, The Review of Economic Studies aims to encourage research in theoretical and applied economics, especially by young economists. Today it is widely recognised as one of the core top-five economics journals. The Review is essential reading for economists and has a reputation for publishing path-breaking papers in theoretical and applied economics. The Review is committed to continuing to publish strong papers in all areas of economics. The Editors aim to provide an efficient and high-quality review process to the Review''s authors. Where articles are sent out for full review, authors receive careful reports and feedback. Since 1989 The Review has held annual May Meetings to offer young students in economics and finance the chance to present their research to audiences in Europe.