The Nexus between Lockdown Shocks and Economic Uncertainty: Empirical Evidence from a VAR Model
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Abstract
The contribution of this paper is twofold. First, we introduce a daily vector
autoregression (VAR) model for the US economy that allows discerning between lockdown shocks and a real business cycle shocks. With this methodology at hand, we then evaluate the impact of lockdown measures on economic uncertainty in a second step. Overall, we only find a moderate positive impact on uncertainty levels that is, in particular, weaker than the impact of the real business cycle shock. Taking a more granular perspective, we observe that in particular uncertainty related to entitlement programs increases and monetary policy uncertainty decreases after a lockdown shock.
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This item has been published with the following license: In Copyright