a machine learning approach to identifying different types of uncertainty abstract we implement natural language processing techniques to extract uncertainty measures from federal reserve beige books between 1970 and 2018 business and economic related uncertainty is associated with future weakness in output higher unemployment and elevated term premia on the other hand political and government uncertainty while high during recent times has no statistically significant impact on the economy

the timing of uncertainty shocks in a small open economy abstract foreign measures of uncertainty such as the us epu index are often used as a proxies for domestic uncertainty in small open economies we construct an epu index for sweden and demonstrate that shocks to the domestic index yield different impulse response functions for gdp growth than shocks to the us index in particular a one standard deviation shock to the swedish index delivers its maximum impact in the same quarter lowering gdp growth by slightly less than 0 2 percentage points in contrast a shock to the us index delivers its maximum impact with a one quarter delay other foreign proxies such as the european and german indices also generate effects that peak with a one quarter delay

wage effects of non wage labour costs we study wage effects of two important elements of non wage labour costs firing costs and payroll taxes we exploit a reform that introduced substantial reduction in these two provisions for unemployed workers aged less than 30 and over 45 years who got a permanent job a matching model with heterogeneous workers predicts positive wage effects of reducing firing costs but ambiguous wage effects of reducing payroll taxes for both new entrant and incumbent workers difference in differences estimates and simulation of the model show positive wage effects for both new entrant and incumbent workers the reduction in firing costs accounts for up to half of the overall wage increase for new entrants but only 10 for incumbents

unemployment persistence is there evidence for stigma effects we present evidence for a highly significant interaction between state dependence in individual unemployment risk and the business cycle the disadvantage from having been unemployed in the previous period is smaller in times of relatively high unemployment and larger in times of low unemployment this is consistent with the existence of stigma effects in the sense that unemployed individuals face difficulties finding a new job because employers interpret unemployment as a negative signal and do so especially when it is easier to find jobs i e when unemployment is low

down and out in north america recent trends in poverty rates in the united states and canada this paper examines why canadian poverty rates fell relative to u s poverty rates during the periods 1970 1979 and 1979 1986 during the 1970s the principal reason for declining canadian poverty rates is higher economic growth during the 1980s however differences in government transfer policy are the main cause of relative poverty change in the two countries virtually all of the 3 3 point fall in relative canadian u s poverty rates from 1979 to 1986 can be attributed to expansions in the canadian transfer system and simultaneous contractions in u s transfers

forecasting in the euro area the role of the us long rate this letter analyses the relationship between economic variables in the euro area and the united states and determines the importance of various indicators in forecasting the euro area macroeconomy results using a novel empirical technique show that innovations in the u s long term interest rate long rate explain substantial variation in euro area gdp and inflation this finding is consistent over a historical sample and supports the emphasis placed on u s economic conditions when constructing projections of the euro area macroeconomic outlook the important contribution of the u s long rate most likely indicates its value as a proxy for the state of the global economy

the effects of economic policy uncertainty on china s economy evidence from time varying parameter favar this article explores the effects of china s economic policy uncertainty epu on its fiscal policy monetary policy and a wide range of macro economic variables using a time varying parameter fava

the british low wage sector and the employment prospects of the unemployed abstractare low wages a way for the unemployed to switch to higher paying jobs using data from the british household panel survey the labour market dynamics of unemployed low paid and higher paid employed men are analysed moreover the respective un employment duration and occupational skill level are accounted for results show that in general low wages significantly reduce the risk of future unemployment and increase the chances of ascending the salary ladder especially in the case of long term unemployment 360 days furthermore the occupational skill level has a substantial influence on the upward mobility of low paid jobs individuals working in the initial period in a low paid and higher skilled occupation have on average an 11 percentage points higher probability of entering higher pay compared to when working in a low paid and low skilled occupation

time aggregation and state dependence in welfare receipt dynamic discrete choice models are an important tool in studies of state dependence in benefit receipt a common assumption of such models is that benefit receipt sequences follow a conditional markov process this property has implications for how estimated period to period benefit transition probabilities should relate when receipt processes are aggregated over time this paper assesses whether the conditional markov property holds in welfare benefit receipt dynamics in norway using high quality monthly data from administrative records we find that the standard conditional markov model is seriously misspecified estimated state dependence is affected substantially by the chosen time unit of analysis with the average treatment effect of past benefit receipt increasing with the level of aggregation the model can be improved considerably by permitting richer types of benefit dynamics we find strong evidence for both duration and occurrence dependence in benefit receipt allowing for heterogeneity in the entry and persistence processes we find important disparities in the effects of observed and persistent unobserved characteristics based on our preferred model the month to month persistence probability in benefit receipt for a first time entrant is 37 percentage points higher than the entry rate of an individual without previous benefit receipt over a 12 month period this corresponds to an average treatment effect of 5 percentage points

persistence of economic uncertainty a comprehensive analysis one of the most heavily researched and cited issue in applied economics is the relationship of uncertainty indices with the financial and macroeconomic variables while the statistical features of

commodity price changes and the predictability of economic policy uncertainty in this study we forecast economic policy uncertainty epu using input on 23 commodity price changes we reveal the significant predictability of epu using three forecast combinations this indicates that commodity price changes can be taken as a leading indicator of epu

simple solutions to the initial conditions problem in dynamic nonlinear panel data models with unobserved heterogeneity i study a simple widely applicable approach to handling the initial conditions problem in dynamic nonlinear unobserved effects models rather than attempting to obtain the joint distribution of all outcomes of the endogenous variables i propose finding the distribution conditional on the initial value and the observed history of strictly exogenous explanatory variables the approach is flexible and results in simple estimation strategies for at least three leading dynamic nonlinear models probit tobit and poisson regression i treat the general problem of estimating average partial effects and show that simple estimators exist for important special cases copyright 2005 john wiley sons ltd

re evaluating differences in poverty among central city suburban and nonmetropolitan areas of the us poverty in the united states varies greatly by location the difference in poverty intensity among locations however has only been evaluated by the official poverty measure the headcount ratio which has several drawbacks the official poverty statistics also suffer from use of a single arbitrary poverty line this paper uses a recently developed distribution sensitive measure of poverty and 1990 census data to reconsider the difference among central city suburban and nonmetropolitan poverty levels as well as differences among us regions instead of using a single arguable poverty line this paper lets the poverty line vary over an income range so that conclusions are more robust we check for significance of differences across locations by applying some recently developed methods of statistical inference

homeless in america homeless in california it is generally believed that the increased incidence of homelessness in the united states has arisen from broad societal factors such as changes in the institutionalization of the mentally ill increases in drug addiction and alcohol usage and so forth this paper presents a comprehensive test of the alternate hypothesis that variations in homelessness arise from changed circumstances in the housing market and in the income distribution we assemble essentially all the systematic information available on homelessness in u s urban areas census counts shelter bed counts records of transfer payments and administrative agency estimates we estimate similar statistical models using four different samples of data on the incidence of homelessness defined according to very different criteria our results suggest that simple economic principles governing the availability and pricing of housing and the growth in demand for the lowest quality housing explain a large portion of the variation in homelessness

is the relationship between gold and the u s dollar always negative the role of macroeconomic uncertainty abstractthe main work of this article is to access the role of macroeconomic uncertainty in effecting the correlation between gold and the dollar the empirical analysis is divided into two parts firstly we examine the impact of macroeconomic uncertainty on short and long correlation between gold and the dollar secondly we analyse the explanatory power of economic uncertainty for the abnormal market relation between gold and the dollar with a threshold model in particular we investigate impacts of economic uncertainty sourced from different economies the empirical results indicate that economic uncertainty generates direct impacts on the correlation between gold and the dollar moreover our results emphasize that uncertainty sourced from different economies have different impacts on the dynamics between gold and the dollar this article also presents the relative contribution of gold and the dollar shocks to the likelihood of being in the high uncertainty regime these results have implications fo

dynamic connectedness of uncertainty across developed economies a time varying approach abstract economic uncertainty has attracted a significant part of the modern research in economics proving to be a significant factor for every economy in this study we focus on the transmission channel of uncertainty between developed economies examining potential spillover effects between the u s the e u the u k japan and canada within a time varying framework our empirical results indicate of a significant spillover of uncertainty from the e u to the u s

job search stigma effect and escape rate from unemployment this article formulates job search models incorporating certain types of the stigma effect of unemployment it is assumed that the probability of getting a job offer given the unemployment individual contacts the firm is influenced by the duration of unemployment and is justified in a signaling context the optimal search is analyzed for one sector as well as across several independent labor market segments it is shown that there are reasonably general conditions on the search environments for which both the individual reservation wage and escape rate are negative duration dependent a fact observed in empirical studies

international economic policy uncertainty and stock prices revisited multiple and partial wavelet approach abstract this paper introduces a new dimension to the relationship between economic policy uncertainty epu and stock prices sp by extending the contributions of ko and lee 2015 by using multiple and partial wavelet coherence techniques the vulnerability of sp due to combined and isolated impact of international us epu and domestic policy uncertainty depu is investigated the main findings are a the combined effect of depu and us epu is more significant for developed market s sp b the emerging market s sp are more sensitive to depu and c amongst developed markets japan and european countries are more sensitive to us epu than depu

the international transmission of volatility shocks an empirical analysis this paper proposes an empirical model which can be used to estimate the international transmission of volatility shocks using this model we estimate that a one standard deviation increase in the volatility of the shock to us real gdp leads to a decline in uk gdp of 1 relative to trend and a 0 7 increase in uk cpi relative to trend at the two year horizon using a nonlinear open economy dsge model we find that these empirical estimates are consistent with the response to a perturbation to the volatility of foreign supply type shocks while an increase in the volatility of demand shocks has a negligible impact

the impact of youth unemployment on adult unemployment in the ncds using the national child development survey this paper looks at cumulated experience of unemployment highlighting how unemployment experience is concentrated on a minority of the workforce over extended periods low educational attainment ability not captured by education financial deprivation and behavioural problems in childhood raise a person s susceptibility to unemployment there is strong evidence of structural dependence induced by early unemployment experience for men but only minor persistence for women attacking low educational achievement and preventing the build up of substantial periods in unemployment as youths may reduce the extent to which a minority of men spend a large part of their working lives unemployed

economic policy uncertainty shocks and stock bond correlations evidence from the us market abstract this paper examines the effects of economic policy uncertainty shocks on stock bond correlations for the us market we devise a general framework which distinguishes a positive shock from a negative one and nests either as its special case the results show that innovations in the policy uncertainty index impact negatively and asymmetrically on the subsequent stock bond correlations which are characterized by a structural break and positive type asymmetry

dynamic co movements of stock market returns implied volatility and policy uncertainty we examine time varying correlations among stock market returns implied volatility and policy uncertainty our findings suggest that correlations are indeed time varying and sensitive to oil demand shocks and us recessions

cross country determinants of economic policy uncertainty spillovers this study explores the determinants of cross country economic policy uncertainty epu spillovers we find that bilateral factors such as trade and common language play a highly significant role i

poverty prices and place how sensitive is the spatial distribution of poverty to cost of living adjustments this article examines how accounting for cost of living differences across metropolitan and nonmetropolitan areas affects measured rates of poverty the spatial price index used is based on the fair market rent data and was developed by the census bureau for use in its experimental poverty research program following u s federal definitions poverty in nonmetro areas has been consistently higher than it has been in metro areas using the fair market rent index to adjust for differences in cost of living results in a complete reversal of nonmetro metro rankings in terms of prevalence depth and severity of poverty for every year examined 1991 to 2002 jel i32 r1 c81

international spillovers of policy uncertainty using the baker et al 2013 index of policy uncertainty for six developed countries this paper estimates spillovers of policy uncertainty we find that spillovers account for slightly more than one fourth of the dynamics of policy uncertainty in these countries with this share rising to one half during the financial crisis the us and uk are responsible for a large fraction of the spillovers since the financial crisis while the remaining countries are all net receivers of policy uncertainty shocks during and after this period

long memory economic policy uncertainty and forecasting us inflation a bayesian varfima approach abstractwe compare inflation forecasts of a vector autoregressive fractionally integrated moving average varfima model against standard forecasting models u s inflation forecasts improve when controlling for persistence and economic policy uncertainty epu importantly the varfima model comprising of inflation and epu outperforms commonly used inflation forecast models

unconventional monetary policy and the credit channel in the euro area abstract we disentangle credit supply and demand and we then embed this information into a bayesian threshold var model to investigate the importance of the demand channel and the broad credit channel in the transmission of unconventional monetary policy on the macroeconomy during financial stress periods we find that during such periods ump shocks boost aggregate demand for loans increase agents net worth and revitalize credit to firms and households in addition counterfactual analysis suggests that non standard policy measures aiming at stimulating loan demand and relaxing banks balance sheet constraints would provide a significant support to economic activity prices and the financial sector

information externalities in the labour market and the duration of unemployment a matching model is analysed in which firms imperfectly test workers prior to hiring them if some firms hire only workers who pass the test there is an informational externality unemployment duration is a signal of productivity in equilibrium if it is profitable for a firm to test it is also profitable for it to condition its hiring decision on duration hiring those whose duration is less than a critical value this testing equilibrium is inefficient with too much testing and too low a critical duration value sensitivity analysis of the latter suggests explanations for the dependence of re employment probabilities on duration and the instability of the u v curve

should the euro area be run as a closed economy the european economic and monetary union emu has created a new economic area larger and closer with respect to the rest of the world area specifi cs hocks are thus more important in emu than country specific shocks used to be in the previous states e g in germany it is thus not surprising that the models used to determine optimal monetary policy in the euro area for instance smets and wouters 2004 assume that this works essentially as a closed economy hit by domestic shocks i e the same assumption made in standard models of u s monetary policy see e g christiano et al 1999 where all shocks are domestic with the only possible exception of energy price shocks this paper studies monetary policy in the euro area looking at the variable most directly related to current and expected monetary policy the yield on long term government bonds we explore how the behaviour of european long term rates has been affected by emu and whether the response of long term rates to monetary policy has got any closer to that consistent with a closed economy we find that the level of long term rates in europe is almost entirely explained by u s shocks and by the systematic response of u s and european variables to these shocks the systematic component of european monetary policy responds to u s variables more than it does to local variables this was true for the bundesbank before emu and remains true for the ecb since the start of emu we also find that unpredictable fluctuations in long term rates are driven by shocks to term premia not to monetary policy this means that the ecb can affect long rates only through the systematic component of its monetary policy which as we have seen mostly responds to u s variables monetary policy shocks induced by the ecb have virtually no effect on long rates claiming that monetary policy in the euro area can be determined as if the region were a closed economy is thus not consistent with the empirical evidence on

economic policy uncertainty and risk spillovers in the eurozone this paper focuses on the impact of economic policy uncertainty on risk spillovers within the eurozone and contributes to these two growing literatures to this end we adapt the two step procedure developed by adrian and brunnermeier forthcoming in the framework of financial systemic risk to the sovereign bond market accordingly we attempt i to measure the extent to which distress affecting one given country s sovereign spreads can affect the eurozone s bond market as a whole and then ii to identify the determinants of risk spillovers by estimating a panel data model with macroeconomic state variables and economic policy uncertainty epu indices introduced by baker et al 2013 as regressors epu indices considered concern the four largest eurozone countries i e germany france italy and spain as well as the united states the model is estimated with quarterly data for ten countries representing the bulk of debt issuances within the eurozone over a period ranging from q4 2008 to q2 2013 which is characterized by historically high dispersion of sovereign bond spreads either across time or across countries our results support the idea that economic policy uncertainty in the core economies of the eurozone i e germany and france as well as in the largest periphery countries i e italy and spain can create an environment likely to exacerbate the transmission of risk arising from abnormal developments of individual countries sovereign spreads to the eurozone bond market as a whole in this respect our results plead for larger effort of eurozone leaders to reduce the uncertainty surrounding their economic policy in periods of crisis not only to avoid adverse effects on their own economies but also to reduce the risk of a destabilization of the eurozone sovereign bond market as a whole

economic policy uncertainty in the us does it matter for the euro area abstract we investigate the effects of a us economic policy uncertainty shock on some euro area macroeconomic aggregates via structural vars we model the indicators of economic policy uncertainty recently developed by baker et al 2013 jointly with the aggregate price indexes and alternative indicators of the business cycle for the two above indicated economic areas according to our svars a one standard deviation shock to us economic policy uncertainty leads to a statistically significant fall in the european industrial production and prices of 0 12 and 0 06 respectively the contribution of the us uncertainty shock on the european aggregates is shown to be quantitatively larger than the one exerted by an euro area specific uncertainty shock

how robust is a poverty profile comparison of poverty such as when poverty is greatest typically matter far more for policy choices than do aggregate measures of poverty such as how many people are deemed poor the authors examine alternative methods for constructing poverty profiles focusing on their internal consistency and appropriateness for guiding policy none is perfect but some methods appear to be preferable to others when the aim is to inform policies for fighting absolute consumption poverty a case study on indonesia reveals that the country s regional and sectoral poverty profile is highly sensitive to some aspects of measurement but quite robust to others

heterogeneity in unemployment state dependence by applying a heterogeneous slope model this paper shows that unemployment state dependence varies across workers assuming a homogeneous effect of past unemployment on the risk of staying unemployed underestimates the scarring effect of unemployment in the majority of countries analyzed

tax uncertainty and business activity abstract we investigate the extent to which uncertainties about tax policies affect business activities we develop a statewide tax uncertainty measure tu measure and show that it captures state corporate tax uncertainty by comparing adjacent counties across state borders we show that increasing tax uncertainty by one standard deviation a 30 increase in the tu measure leads to a 0 17 point per year decrease in the growth rate of establishments over two years the result holds after conducting a variety of robustness checks and is not likely to be driven by general state policy uncertainties

does economic policy uncertainty in the u s influence stock markets in china and india time frequency evidence this paper uses continuous and discrete wavelet tools to evaluate the dynamic correlation and causality between the u s economic policy uncertainty epu and stock markets in china and india from

measuring financial asset return and volatility spillovers with application to global equity markets we provide a simple and intuitive measure of interdependence of asset returns and or volatilities in particular we formulate and examine precise and separate measures of return spillovers and volatility spillovers our framework facilitates study of both non crisis and crisis episodes including trends and bursts in spillovers and both turn out to be empirically important in particular in an analysis of sixteen global equity markets from the early 1990s to the present we find striking evidence of divergent behavior in the dynamics of return spillovers vs volatility spillovers return spillovers display a gently increasing trend but no bursts whereas volatility spillovers display no trend but clear bursts

analyzing time varying volatility spillovers between the crude oil markets using a new method abstract the spillover effect is an important factor affecting the volatility of crude oil price basing on the study of diebold and yilmaz 2009 2012 2014 we propose a new method that calculates the time varying volatility spillover indexes by the generalized forecast error variance decomposition of tvp var sv model then using the new method we study the time varying volatility spillovers between four major crude oil markets wti brent oman tapis from november 29 2002 to july 13 2018 by comparing the results of our new method and traditional rolling window method we verify the superiority of our new method the results show that the volatility spillovers calculated by the new method are clearer more stable and not outlier sensitive from the estimated results of time varying volatility spillovers we find that the volatility spillover between crude oil markets is slowly increasing but there are obvious cyclical changes and from the correlation analysis and the granger causality test we find that the volatility and volatility spillovers are positively correlated and are two way granger causality which supported for the market infection hypothesis of king and wadhwani 1990

macroeconomic policy uncertainty shocks on the chinese economy a gvar analysis abstractthis article studies the spillovers of economic policy uncertainty epu from developed economies to china in terms of the source extent and persistence by estimating a global vector autoregressive gvar model with both financial and trade variables acting as the transmission channels our findings confirm the existence of international transmissions of policy uncertainty while the patterns differ markedly the us epu appears to be the most significant cause of the fall of export industrial production equity price and exchange rate meanwhile the eu epu is also to be blamed for the depreciation of rmb in contrast to industrial production which shows the largest negative impact chinese inflation increases to a relatively smaller extent with the epu shocks ranking as the us japanese and the eu regardless of the minor impact on a long term interest rate the short term interest rate in china reacts positively to the european and us epu shocks despite the independent national monetary poli

stigma effects of layoffs abstract based on a signaling model of gibbons and katz 1991 journal of labor economics 9 351 380 this paper compares the development of the wages of dismissed employees to those who lost their job because of plant closings in contrast to the us and canada there is no evidence for a stigma effect of layoffs in germany some explanations of the divergent results are pointed out

on the relative weil being of the nonmetropolitan poor an examination of alternate definitions of poverty during the 1990s using foster greer thorbecke poverty indices this paper shows that although the incidence of poverty was higher in nonmetropolitan than metropolitan areas throughout the 1990s the poverty gap index was only statistically significantly higher in nonmetropolitan areas in six of the 10 years and the squared poverty gap index was worse in only three years this paper also provides design corrected standard errors for the indices which result in more than doubling the uncorrected estimates an examination of the ratio of the poverty gap to the head count index establishes that the average shortfall of the poor as a fraction of the poverty line was worse in the metropolitan areas during all 10 years of the 1990s similarly the distribution of income divided by the poverty line indicates that disproportionately more of the nonmetropolitan poor subsisted on incomes near the poverty line whereas the metropolitan poor were relatively more likely to be living in extreme poverty

uncertainty shocks and unemployment dynamics in u s recessions abstract what are the effects of uncertainty shocks on unemployment dynamics we answer this question by estimating non linear smooth transition vars with post wwii u s data the relevance of uncertainty shocks is found to be much larger than that predicted by standard linear vars in terms of i magnitude of the reaction of the unemployment rate to such shocks and ii contribution to the variance of the prediction errors of unemployment at business cycle frequencies the ability of different classes of dsge models to replicate our results is discussed

on the transmission mechanism of country specific and international economic uncertainty spillovers evidence from a tvp var connectedness decomposition approach abstract we investigate the internal and external categorical economic policy uncertainty epu spillovers between the us and japan using a novel extension of the tvp var connectedness approach of antonakakis and gabauer 2017 the decomposition of our approach gives us insights about the dynamics with and without international spillovers which has essential policy implications our results suggest that monetary policy uncertainty is the main driver followed by uncertainties associated with fiscal currency market and trade policies furthermore we find that the fukushima daiichi accident can be interpreted as a negative trade shock that spread internationally

stigma effects of nonemployment i introduction it is well known that longer durations of past nonemployment are associated with longer durations of future nonemployment 1 two explanations have been offered in the literature to interpret this phenomenon heterogeneity and the effect of workers employment histories the heterogeneity explanation argues that individuals differ in certain observed and unobserved characteristics and that these differences affect the duration of their periods of nonemployment however these individuals are unaffected by the mere experience of nonemployment because individuals with longer spells of nonemployment in the past are more likely to have characteristics that make them remain nonemployed they are likely to experience longer spells of nonemployment than others in the future the work history explanation argues that the mere experience of longer spells of nonemployment in the past raises the chance of longer spells of nonemployment in the future two theoretical explanations have been offered to explain this structural relationship human capital decay and stigma human capital decay suggests that nonemployed workers lose vital work experience and on the job training or suffer from human capital decay that reduces their future employability stigma suggests that potential employers infer the unobserved components of the workers quality from their history of employment and nonemployment in particular past nonemployment sends a negative signal to potential employers that lowers the probability of future reemployment 2 the ability to distinguish between heterogeneity and the effect of work history is a crucially important policy issue if the observed correlation between the duration of successive nonemployment spells reflects heterogeneity across individuals then a given individual enjoys the same chance of reemployment no matter how long or short his periods of past nonemployment have been in this case chronic nonemployment is a problem of a population subgroup and traditional training programs targeted toward the chronically nonemployed would be an appropriate policy tool moreover the programs could be targeted at individuals with the characteristics associated with a high risk of chronic nonemployment however if the observed correlation reflects the effect of work history anyone who happens to have experienced long periods of nonemployment in the past has a high probability of experiencing long periods of nonemployment in the future thus phelps 1972 argues that short term macroeconomic policies that alleviate unemployment will also lower aggregate unemployment rates in the long run 3 i argue however that an appropriate policy depends on the cause of the work history effect if the effect reflects human capital decay then short term macroeconomic policies to alleviate unemployment and traditional government training programs to help the unemployed restore lost skills are appropriate if the effect reflects stigma active short term macroeconomic policies may not be necessary to lower aggregate unemployment rates in the long run because stigma effects are likely to be weaker when nonemployment is experienced during a severe recession than when it is experienced during a moderate recession an appropriate policy would aim at aiding the flow of accurate information on the quality of stigmatized workers in the private sector for instance the government might subsidize potential private sector employers costs of screening job applicants who established poor work histories during a period of moderate recession alternatively it might sponsor private sector internship and training programs for such workers 4 although both the duration and frequency of nonemployment determine the individual s nonemployment rate the duration is empirically far more important than the frequency 5 because an understanding of the determinants of the duration of nonemployment is crucial to both economic theory and policymaking an enormous number of empirical studies have addressed the issue

measuring cross category spillovers of policy specific uncertainty in china abstract this paper examine cross category spillovers of policy specific uncertainty in china we find that monetary policy and exchange rate policy are net givers while fiscal policy and trade policy are net receivers monetary policy plays the dominant role spillovers are countercyclical

nonemployment stigma as rational herding a field experiment abstract long spells of unemployment are known to reduce the likelihood of re employment but it is difficult to discern the reasons for this observation using an experimental method that controls for search intensity and possible discouragement of job applicants i document that job market opportunities for the nonemployed diminish rapidly over time in this experiment duration dependence is solely due to firm perceptions why do firms view long spells of nonemployment as negative signals rational herding is one important factor managers believe that unemployed applicants were previously interviewed and if the applicants were productive they would have been hired

gaining ground poverty in the postwar united states official measures of poverty in the united states are compiled by the bureau of the census by comparing a household s income level to a prespecified threshold from a theoretical perspective it is more appropriate to evaluate the level of poverty using a consumption based measure of household welfare in this paper i evaluate the level of poverty using expenditure data from the consumer expenditure survey i find that consumption based poverty rates are much lower than those based on income the trend in the poverty rate in the united states is sensitive to the price index and equivalence scales used to adjust the poverty thresholds

international economic policy uncertainty and stock prices wavelet approach this paper examines the link between economic policy uncertainty and stock price in both a time and frequency domain wavelet analysis reveals that the relationship is generally negative but changes over time exhibiting low to high frequency cycles moreover the timing of frequency changes overlaps when us policy uncertainty comoves with other countries policy uncertainty

assessing international commonality in macroeconomic uncertainty and its effects this paper uses a large vector autoregression var to measure international macroeconomic uncertainty and its effects on major economies using two datasets one with gdp growth rates for 19 industrialized countries and the other with a larger set of macroeconomic indicators for the u s euro area and u k using basic factor model diagnostics we first provide evidence of significant commonality in international macroeconomic volatility with one common factor accounting for strong comovement across economies and variables we then turn to measuring uncertainty and its effects with a large var in which the error volatilities evolve over time according to a factor structure the volatility of each variable in the system reflects time varying common global components and idiosyncratic components in this model global uncertainty is allowed to contemporaneously affect the macroeconomies of the included nations both the levels and volatilities of the included variables in this setup uncertainty and its effects are estimated in a single step within the same model our estimates yield new measures of international macroeconomic uncertainty and indicate that uncertainty shocks surprise increases lower gdp and many of its components adversely affect labor market conditions lower stock prices and in some economies lead to an easing of monetary policy

time varied causality between us partisan conflict shock and crude oil return abstract to investigate the causality between us partisan conflict shock and crude oil return this paper utilizes bootstrap full sample granger causality and bootstrap rolling window sub sample granger causality tests although no evidence supports the causal nexus between partisan conflict shock and crude oil return with full sample data time varied causality is observed for particular sub samples such difference can be attributed to the parameter non constancy in the var system in terms of the empirical results the us partisan conflict shock causes the fluctuations of the crude oil market in 2008 2009 and 2014 2015 however such influence is temporary inversely the crude oil return causes us partisan shock in 1985 1986 1991 1994 1998 2000 and 2012 2013 these findings indicate crude oil market significantly affects political stability of the us especially during the periods of the gulf war and opec production cut the empirical results are robust in terms of both sample setting variation and window size selection

is there a role for uncertainty in forecasting output growth in oecd countries evidence from a time varying parameter panel vector autoregressive model this paper uses a time varying parameter panel vector autoregressive tvp pvar model to analyze the role played by domestic and us news based measures of uncertainty in forecasting the growth of industrial production of 12 organisation for economic co operation and development oecd countries based on a monthly out of sample period of 2009 06 to 2017 05 given an in sample of 2003 03 to 2009 05 there are only 46 of cases where domestic uncertainty can improve the forecast of output growth relative to a baseline monetary tvp pvar model which includes inflation interest rate and nominal exchange rate growth besides output growth moreover including us uncertainty does not necessarily improve the forecasting performance of output growth from the tvp pvar model which includes only the domestic uncertainty along with the baseline variables so in general while uncertainty is important in predicting the future path of output growth in the 12 advanced economies considered a forecaster can do better in majority of the instances by just considering the information from standard macroeconomic variables

fragility and the effect of international uncertainty shocks abstract when economic systems are fragile even modest shocks for example a shock to international capital movements can have strong negative effects on key macroeconomic fundamentals this paper proposes a large scale bayesian vector autoregression with factor stochastic volatility to investigate the macroeconomic consequences of international uncertainty shocks in g7 countries and shows that uncertainty increases fragility the factor structure enables us to identify an international uncertainty shock by assuming that it is the joint volatility process that determines the dynamics of the variance covariance matrix of the common factors to allow for first and second moment shocks we moreover assume that the uncertainty factor enters the var equation as an additional regressor our findings suggest that an international uncertainty shock has negative effects across all economies and variables under consideration leading to strong declines in output prices exports interest rates and equity prices the precise degree of fragility varies across countries a simple correlation exercise suggests that structural differences may be partially responsible for the observed differences

on international uncertainty links bart based empirical evidence for canada we use the indexes of economic policy uncertainty epu developed by baker et al 2015 for canada and seven china france germany japan russia united kingdom and united states other countries to study international uncertainty links by means of a bayesian additive regression trees bart algorithm using partial dependence plots relative importance measures and permutation tests we shed light on how epu in canada is linked to epu in seven other countries