Luca Gambetti, Dimitris Korobilis, John Tsoukalas, Francesco Zanetti
arXiv 3 Feb 2023 · Econometrics · 5 citations (OpenAlex)
arXiv:2302.01621 · PDF · DOI · OpenAlex · Extracted main text
When agents' information is imperfect and dispersed, existing measures of macroeconomic uncertainty based on the forecast error variance have two distinct drivers: the variance of the economic shock and the variance of the information dispersion. The former driver increases uncertainty and reduces agents' disagreement (agreed uncertainty). The latter increases both uncertainty and disagreement (disagreed uncertainty). We use these implications to identify empirically the effects of agreed and disagreed uncertainty shocks, based on a novel measure of consumer disagreement derived from survey expectations. Disagreed uncertainty has no discernible economic effects and is benign for economic activity, but agreed uncertainty exerts significant depressing effects on a broad spectrum of macroeconomic indicators.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Jurado, K., Ludvigson, S. C., and Ng, S (2015) Measuring uncertainty | 0.953 | 15 | 6 | 87% |
| 2 | Bloom, N (2009) The impact of uncertainty shocks | 0.941 | 6 | 3 | 83% |
| 3 | Baker, S., Bloom, N., and Steven, D (2016) Measuring economic policy uncertainty | 0.928 | 5 | 4 | 80% |
| 4 | Ludvigson, S. C., Ma, S., and Ng, S (2021) Uncertainty and business cycles: Exogenous impulse or endogenous response | 0.874 | 6 | 3 | 67% |
| 5 | Bachmann, R., Elstner, S., and Sims, E. R (2013) Uncertainty and economic activity: Evidence from business survey data | 0.855 | 8 | 5 | 62% |
| 6 | Gilchrist, S., Sim, J., and Zakrajsek, E (2014) Uncertainty, financial frictions and investment dynamics | 0.644 | 3 | 2 | 67% |
| 7 | Berger, D., Dew-Becker, I., and Giglio, S (2020) Uncertainty shocks as second-moment news shocks | 0.644 | 2 | 2 | 100% |
| 8 | Shannon, C. E (1948) A mathematical theory of communication | 0.644 | 2 | 2 | 100% |
| 9 | Korobilis, D (2022) A new algorithm for structural restrictions in Bayesian vector autoregressions self | 0.606 | 6 | 2 | 33% |
| 10 | Basu, S. and Bundick, B (2017) Uncertainty shocks in a model of effective demand | 0.511 | 2 | 2 | 50% |
Showing the top 10 of 52 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Large structural VARs with multiple linear shock and impact inequality restrictions | 0.405 | 1 | 1 |