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Title: Time-varying effect of uncertainty shocks on unemployment
Authors: Ekşi, Ozan
Onur Tas B.K.
Keywords: Great recession
Uncertainty shocks
Unemployment dynamics
Issue Date: 2022
Publisher: Elsevier B.V.
Source: Eksi, O., & Tas, B. K. O. (2022). Time-varying effect of uncertainty shocks on unemployment. Economic Modelling, 110, 105810.
Abstract: We examine the dynamic effects of uncertainty shocks on unemployment during recessions in the US. We estimate a Bayesian time-varying parameter structural vector autoregression. We analyze how the impact of uncertainty shocks on U.S. unemployment changes over time. We find that uncertainty shocks have both higher unit impact and higher total effect on unemployment during the Great Recession compared to those of previous recessions. Different characteristics of the Great Recession amplify the effect of uncertainty on unemployment. Two channels distinguish the Great Recession from other recessions: the federal funds rate hitting the zero lower bound and financial frictions. We find that these factors are significant determinants of the time-varying relationship between unemployment and uncertainty. Robustness analyses with alternative measures of uncertainty and alternative empirical specifications validate the results of the paper. © 2022 Elsevier B.V.
ISSN: 0264-9993
Appears in Collections:İktisat Bölümü / Department of Economics
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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