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DP1094.pdf | 964.62 kB | Adobe PDF | 見る/開く |
タイトル: | Time-varying ambiguity shocks and business cycles |
著者: | Asano, Takao Cai, Xiaojing Sakemoto, Ryuta |
キーワード: | Ambiguity Risk premiums Uncertainty TVP-VAR E32 E44 |
発行日: | Aug-2023 |
出版者: | Institute of Economic Research, Kyoto University |
誌名: | KIER Discussion Paper |
巻: | 1094 |
開始ページ: | 1 |
終了ページ: | 30 |
抄録: | This study investigates how ambiguity has driven output and inflation in the U.S. over the past 70 years. We adopt the recently developed techniques that disentangle ambiguity from risk and assess the responses of output and inflation to ambiguity shocks. We observe that an increase in ambiguity led to an increase in output during high inflation periods, indicating the ambiguity lover behavior. We also uncover that ambiguity and risk estimated by realized volatility have the opposite impacts on business cycles, which is consistent with the prevailing asset pricing literature. |
記述: | This research was financially supported by International Joint Research Center of Advanced Economic Research of KIER and the Grants-in-Aid for Scientific Research |
URI: | http://hdl.handle.net/2433/284849 |
関連リンク: | https://www.kier.kyoto-u.ac.jp/publication/?cat=en |
出現コレクション: | KIER Discussion Paper (英文版) |
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