منابع مشابه
Short and Long Run Uncertainty Short and Long Run Uncertainty
Uncertainty appears to have both a short-run and a long-run component, which we measure using rm and macro implied volatility data from options of 30 days to 10 years duration. We ask what may be driving uncertainty over these di erent time horizons, nding that oil price volatility is particularly important for short-run uncertainty, policy uncertainty is particularly important for long-run unc...
متن کاملLong-Run Fiscal Uncertainty, Growth and Asset Prices
Following massive government interventions during the great recession of 20072009, governments’ indebtedness has skyrocketed around the globe. These dramatic financing needs raise uncertainty about the future stance of fiscal policies and their effects on the growth prospects of the economy. In this paper, we reconsider the link between short-run stabilization and uncertainty about long-term fi...
متن کاملShort- and Long-Run Uncertainty
Uncertainty appears to have both a short-run and a long-run component, which we measure using firm and macro implied volatility data from 30 days to 10 years duration. Examining a panel of over 4,000 firms from 1996 to 2013 we find that investment is significantly more sensitive to long-run uncertainty, while employment responds equally to shortand long-run uncertainty. We build a model to inve...
متن کاملLong-Run Policy Analysis and Long-Run Growth
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متن کاملMeasuring Uncertainty about Long-Run Predictions
Long-run forecasts of economic variables play an important role in policy, planning, and portfolio decisions. We consider forecasts of the long-horizon average of a scalar variable, typically the growth rate of an economic variable. The main contribution is the construction of prediction sets with asymptotic coverage over a wide range of data generating processes, allowing for stochastically tr...
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ژورنال
عنوان ژورنال: Journal of Monetary Economics
سال: 2016
ISSN: 0304-3932
DOI: 10.1016/j.jmoneco.2016.04.001