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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2024

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Technological Forecasting and Social Change

ISSN

0040-1625

e-ISSN

1873-5509

Svazek periodika

203

Číslo periodika v rámci svazku

June

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

16

Strana od-do

123340

Kód UT WoS článku

001225697400001

EID výsledku v databázi Scopus

2-s2.0-85189694346