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Uncertainty Shocks as Second-Moment News Shocks

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Publication:5028538
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DOI10.1093/restud/rdz010zbMath1483.91128OpenAlexW2626917328MaRDI QIDQ5028538

Ian Dew-Becker, Stefano Giglio, David Berger

Publication date: 10 February 2022

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w23796.pdf


zbMATH Keywords

uncertaintybusiness cyclesvolatility


Mathematics Subject Classification ID

Economic growth models (91B62) Financial markets (91G15)


Related Items (6)

UNCERTAINTY AND MONETARY POLICY DURING THE GREAT RECESSION ⋮ The origins and effects of macroeconomic uncertainty ⋮ Expected, unexpected, good and bad aggregate uncertainty ⋮ Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty ⋮ VIX derivatives, hedging and vol-of-vol risk ⋮ Consistent inference for predictive regressions in persistent economic systems




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