The State-Level Impact of Uncertainty Shocks

Haroon Mumtaz; Laura Sunder-Plassmann; Angeliki Theophilopoulou

doi:10.1111/jmcb.12509

The State-Level Impact of Uncertainty Shocks

Haroon Mumtaz, Laura Sunder-Plassmann, Angeliki Theophilopoulou

6 Citations (Scopus)

Abstract

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.

Original language	English
Journal	Journal of Money, Credit and Banking
Volume	50
Issue number	8
Pages (from-to)	1879-1899
ISSN	0022-2879
DOIs	https://doi.org/10.1111/jmcb.12509
Publication status	Published - Dec 2018

Keywords

Faculty of Social Sciences
C15,C32
E32
FAVAR
stochastic volatility
uncertainty shocks
regional effects

Access to Document

10.1111/jmcb.12509

Cite this

@article{6d29e0cd228d4083846d335fc100d6b4,

title = "The State-Level Impact of Uncertainty Shocks",

abstract = "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.",

keywords = "Faculty of Social Sciences, C15,C32, E32, FAVAR, stochastic volatility, uncertainty shocks, regional effects",

author = "Haroon Mumtaz and Laura Sunder-Plassmann and Angeliki Theophilopoulou",

year = "2018",

month = dec,

doi = "10.1111/jmcb.12509",

language = "English",

volume = "50",

pages = "1879--1899",

journal = "Journal of Money, Credit and Banking",

issn = "0022-2879",

publisher = "Wiley",

number = "8",

}

TY - JOUR

T1 - The State-Level Impact of Uncertainty Shocks

AU - Mumtaz, Haroon

AU - Sunder-Plassmann, Laura

AU - Theophilopoulou, Angeliki

PY - 2018/12

Y1 - 2018/12

N2 - 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.

AB - 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.

KW - Faculty of Social Sciences

KW - C15,C32

KW - E32

KW - FAVAR

KW - stochastic volatility

KW - uncertainty shocks

KW - regional effects

U2 - 10.1111/jmcb.12509

DO - 10.1111/jmcb.12509

M3 - Journal article

SN - 0022-2879

VL - 50

SP - 1879

EP - 1899

JO - Journal of Money, Credit and Banking

JF - Journal of Money, Credit and Banking

IS - 8

ER -

The State-Level Impact of Uncertainty Shocks

Abstract

Keywords

Access to Document

Fingerprint

Cite this