Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/207230 
Year of Publication: 
2019
Series/Report no.: 
CESifo Working Paper No. 7839
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
The current paper broadens the understanding of the role played by uncertainty in the context of macroeconomic fluctuations. It focuses on the implications of uncertainty shocks for indicators that tend to precede financial crises. In an empirical analysis we show for a set of four euro area countries that negative uncertainty shocks, while boosting economic activity, are followed by unfavorable reactions of financial crisis indicators. We conclude that standard uncertainty measures contain some useful information on the potential buildup of vulnerabilities in the financial system.
Subjects: 
uncertainty
crisis indicators
structural macroeconomic shocks
sign restrictions
JEL: 
D89
C32
E44
G01
Document Type: 
Working Paper
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