The State-Level Impact of Uncertainty Shocks

被引：24

作者：

Mumtaz, Haroon ^{[1
]}

Sunder-Plassmann, Laura ^{[2
]}

Theophilopoulou, Angeliki ^{[3
]}

机构：

[1] Queen Mary Coll, London, England

[2] Univ Copenhagen, Copenhagen, Denmark

[3] Univ Westminster, London, England

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2018年 / 50卷 / 08期

关键词：

FAVAR; stochastic volatility; uncertainty shocks; regional effects; MONETARY-POLICY; VOLATILITY; MODELS;

D O I：

10.1111/jmcb.12509

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper estimates the impact of uncertainty shocks on real income growth in U.S. states. Our results suggest that the effect is heterogeneous. The magnitude of the decline in income is largest in states with a large share of manufacturing and construction industries, a larger share of small firms, a high fiscal deficit, a less rigid labor market, and a more volatile housing market. In contrast, a higher share of mining industries and larger intergovernmental fiscal transfers ameliorate the impact of uncertainty.

引用

页码：1879 / 1899

页数：21

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