Aversion and Ambiguity: On the Robustness of the Macroeconomic Uncertainty Measure Framework

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F24%3A39922241" target="_blank" >RIV/00216275:25410/24:39922241 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0040162524001367" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0040162524001367</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.techfore.2024.123340" target="_blank" >10.1016/j.techfore.2024.123340</a>

Result language
angličtina
Original language name
Aversion and Ambiguity: On the Robustness of the Macroeconomic Uncertainty Measure Framework
Original language description
The economic literature has focused on the role of uncertainty in the real economy, employing both measures of risk aversion and ambiguity aversion in structural models. In this connection, concerns about the measures for VIX and EPU, have been raised about whether or not they both measure and identify similar type of uncertainty. Using a structural vector autoregressive (SVAR) approach, we examine the relationship between VIX and EPU, their impact on the real economy and whether, and under which conditions, they can be distinguished between measures of risk aversion and ambiguity aversion. Specifically, we analyse the impact of uncertainty shocks of VIX and EPU on the industrial production, unemployment, and consumer credit in the US. Our main finding is that given their fundamental differences, the two measures are capturing different dimensions of uncertainty, VIX is a measure of risk aversion and EPU is a measure of ambiguity aversion. As such, our results are very important in terms of trading decision strategies to be implemented by investors and portfolio managers as it may help explain the two central behavioral traits affecting economic lifecycle problems, such as production, unemployment and consummation.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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