Asymmetric Effects of Uncertainty over the Business Cycle : A Quantile Structural Vector Autoregressive Approach

Schüler, Yves S.

Asymmetric Effects of Uncertainty over the Business Cycle : A Quantile Structural Vector Autoregressive Approach

Dateien

Schueler_0-275836.pdfGröße: 983.3 KBDownloads: 1749

Datum

2014

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

This paper proposes to relate conditional quantiles of stationary macroeconomic time series to the different phases of the business cycle. Based on this idea, I introduce a Bayesian Quantile Structural Vector Autoregressive framework for the analysis of the effects of uncertainty on the US real economy. For this purpose, I define a novel representation of the multivariate Laplace distribution that allows for the joint treatment of multiple equation regression quantiles. I find significant evidence for asymmetric effects of uncertainty over the US business cycle. The strongest negative effects are revealed during recession periods. During boom phases uncertainty shocks improve the soundness of the economy. Moreover, the phase of the financial sector matters when the real economy is at recession but not if the economy is at boom. When the financial system is in a bad state, an uncertainty shock leads to a deeper recession than in times when the financial system is in a good state.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Uncertainty, Economic Cycles, Quantile SVAR, Multivariate Laplace

Zitieren

ISO 690

SCHÜLER, Yves S., 2014. Asymmetric Effects of Uncertainty over the Business Cycle : A Quantile Structural Vector Autoregressive Approach

BibTex

@techreport{Schuler2014Asymm-30106,
  year={2014},
  series={Working Paper Series / Department of Economics},
  title={Asymmetric Effects of Uncertainty over the Business Cycle : A Quantile Structural Vector Autoregressive Approach},
  number={2014-02},
  author={Schüler, Yves S.}
}

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