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Components of Uncertainty

Larsen, Vegard Høghaug
Working paper
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URI
http://hdl.handle.net/11250/2444266
Date
2017
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  • Centre for Applied Macro- and Petroleum economics (CAMP) [104]
Abstract
Uncertainty is acknowledged to be a source of economic fluctuations. But, does the type of uncertainty matter for the economy's response to an uncertainty shock?

This paper offers a novel identfication strategy to disentangle different types of uncertainty. It uses machine learning techniques to classify different types of news instead of specifying a set of keywords. It is found that, depending on its source, the effects of uncertainty on macroeconomic variable may differ. I find that both good (expansionary effect) and bad (contractionary effect) types of uncertainty exist.
Publisher
BI Norwegian Business School
Series
CAMP Working Paper Series;4/2017

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