Uncertainty and Unemployment: The Effects of Aggregate and Sectoral Channels
We study the role of uncertainty shocks in explaining unemployment dynamics, separating out the role of aggregate and sectoral channels. Using S&P500 data from the first quarter of 1957 to third quarter of 2014, we construct separate indices to measure aggregate and sectoral uncertainty and comp...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2015
|
| Schriftenreihe: | IMF Working Papers: Working Paper No. 15 / 36
|
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | We study the role of uncertainty shocks in explaining unemployment dynamics, separating out the role of aggregate and sectoral channels. Using S&P500 data from the first quarter of 1957 to third quarter of 2014, we construct separate indices to measure aggregate and sectoral uncertainty and compare their effects on the unemployment rate in a standard macroeconomic vector autoregressive (VAR) model. We find that aggregate uncertainty leads to an immediate increase in unemployment, with the impact dissipating within a year. In contrast, sectoral uncertainty has a long-lived impact on unemployment, with the peak impact occurring after two years. The results are consistent with a view that the impact of aggregate uncertainty occurs through a "wait-and-see" mechanism while increased sectoral uncertainty raises unemployment by requiring greater reallocation across sectors |
| Beschreibung: | 1 Online-Ressource (26 p) |
| ISBN: | 1498356303 9781498356305 |
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| index_date | 2024-07-03T20:13:36Z |
| indexdate | 2024-07-10T09:35:46Z |
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| record_format | marc |
| series2 | IMF Working Papers: Working Paper No. 15 / 36 |
| spelling | Choi, Sangyup Verfasser aut Uncertainty and Unemployment The Effects of Aggregate and Sectoral Channels Choi, Sangyup Washington, D.C International Monetary Fund 2015 1 Online-Ressource (26 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers: Working Paper No. 15 / 36 We study the role of uncertainty shocks in explaining unemployment dynamics, separating out the role of aggregate and sectoral channels. Using S&P500 data from the first quarter of 1957 to third quarter of 2014, we construct separate indices to measure aggregate and sectoral uncertainty and compare their effects on the unemployment rate in a standard macroeconomic vector autoregressive (VAR) model. We find that aggregate uncertainty leads to an immediate increase in unemployment, with the impact dissipating within a year. In contrast, sectoral uncertainty has a long-lived impact on unemployment, with the peak impact occurring after two years. The results are consistent with a view that the impact of aggregate uncertainty occurs through a "wait-and-see" mechanism while increased sectoral uncertainty raises unemployment by requiring greater reallocation across sectors Online-Ausg Loungani, Prakash Sonstige oth http://www.elibrary.imf.org/view/IMF001/22370-9781498356305/22370-9781498356305/22370-9781498356305.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Choi, Sangyup Uncertainty and Unemployment The Effects of Aggregate and Sectoral Channels |
| title | Uncertainty and Unemployment The Effects of Aggregate and Sectoral Channels |
| title_auth | Uncertainty and Unemployment The Effects of Aggregate and Sectoral Channels |
| title_exact_search | Uncertainty and Unemployment The Effects of Aggregate and Sectoral Channels |
| title_exact_search_txtP | Uncertainty and Unemployment The Effects of Aggregate and Sectoral Channels |
| title_full | Uncertainty and Unemployment The Effects of Aggregate and Sectoral Channels Choi, Sangyup |
| title_fullStr | Uncertainty and Unemployment The Effects of Aggregate and Sectoral Channels Choi, Sangyup |
| title_full_unstemmed | Uncertainty and Unemployment The Effects of Aggregate and Sectoral Channels Choi, Sangyup |
| title_short | Uncertainty and Unemployment |
| title_sort | uncertainty and unemployment the effects of aggregate and sectoral channels |
| title_sub | The Effects of Aggregate and Sectoral Channels |
| url | http://www.elibrary.imf.org/view/IMF001/22370-9781498356305/22370-9781498356305/22370-9781498356305.xml |
| work_keys_str_mv | AT choisangyup uncertaintyandunemploymenttheeffectsofaggregateandsectoralchannels AT lounganiprakash uncertaintyandunemploymenttheeffectsofaggregateandsectoralchannels |