Uncertainty and Unemployment.
International Monetary Fund,
|Series:||IMF Working Papers.
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- Cover; Contents; I. Introduction; II. Measuring Uncertainty: Aggregate vs. Sectoral; A. The Effect of Uncertainty Shocks on Unemployment: Different Explanations; B. Construction of the Uncertainty Indices from the U.S. Stock Market; III. Structural VARs; A. The Effects of Uncertainty Shocks; B. Contribution of Uncertainty Shocks to Long-Term Unemployment during the Great Recession; C. Robustness Checks; IV. Conclusion; References; Figures; 1. Uncertainty Index; 2 Distribution of Aggregate and Sectoral Uncertainty Indices; 3. Unemployment Rate (percent).
- 4. Response to Aggregate Uncertainty Shocks (7 Variable VAR)5. Response to Sectoral Uncertainty Shocks (7 Variable VAR); 6. Forecast Error Decomposition of Unemployment Rate by Aggregate Uncertainty; 7. Forecast Error Decomposition of Unemployment Rate by Sectoral Uncertainty; 8. The Response of the Long-term Unemployment Rate to Uncertainty Shocks; 9. Contribution of Uncertainty Shocks to the Long-term Unemployment Rate during the Great Recession; 10a. Robustness Check: Estimation with Data from 1984Q1 to 2014Q3; 10b. Robustness Check: Estimation with Data from 1984Q1 to 2007Q4.
- 11. Robustness Check: 4 Variable VAR12 Robustness Check: The Reverse Ordering of the Baseline VAR System; 13 Robustness Check: Using 8 Lags instead of 4 Lags; Appendix A. Construction of the Sectoral Uncertainty Index; Table A1. Industrial Composition of the Sestoral Uncertainty Index.