Uncertainty and unemployment : the effects of aggregate and sectoral channels /

Uncertainty and unemployment : the effects of aggregate and sectoral channels /

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Bibliographic Details
Author / Creator:	Choi, Sangyup.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2015.
Description:	1 online resource (26 pages) : color illustrations.
Language:	English
Series:	IMF working paper ; WP/15/36 IMF working paper ; WP/15/36.
Subject:	Uncertainty -- Econometric models. Unemployment -- Econometric models. Uncertainty -- Econometric models. Unemployment -- Econometric models. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12504285

Hidden Bibliographic Details
Other authors / contributors:	Loungani, Prakash. International Monetary Fund. Research Department.
ISBN:	1498356303 9781498356305 9781498356305 9781498328531 1498328539
ISSN:	1018-5941
Notes:	"February 2015." "Research Department." Includes bibliographical references (pages 13-15). Online resource; title from pdf title page (IMF.org Web site, viewed February 25, 2015).
Summary:	We study the role of uncertainty shocks in explaining unemployment dynamics, separating out the role of aggregate and sectoral channels. Using S & P500 data from the first quarter of 1957 to third quarter of 2014, we construct separate indices to measure aggregate and sectoral uncertainty and compare their effects on the unemployment rate in a standard macroeconomic vector autoregressive (VAR) model. We find that aggregate uncertainty leads to an immediate increase in unemployment, with the impact dissipating within a year. In contrast, sectoral uncertainty has a long-lived impact on unemployment, with the peak impact occurring after two years. The results are consistent with a view that the impact of aggregate uncertainty occurs through a "wait-and-see" mechanism while increased sectoral uncertainty raises unemployment by requiring greater reallocation across sectors. --Abstract.
Other form:	Print Version: 9781498356305
Standard no.:	10.5089/9781498356305.001 9781498328531

Description
Summary:	We study the role of uncertainty shocks in explaining unemployment dynamics, separating out the role of aggregate and sectoral channels. Using S&P500 data from the first quarter of 1957 to third quarter of 2014, we construct separate indices to measure aggregate and sectoral uncertainty and compare their effects on the unemployment rate in a standard macroeconomic vector autoregressive (VAR) model. We find that aggregate uncertainty leads to an immediate increase in unemployment, with the impact dissipating within a year. In contrast, sectoral uncertainty has a long-lived impact on unemployment, with the peak impact occurring after two years. The results are consistent with a view that the impact of aggregate uncertainty occurs through a "wait-and-see" mechanism while increased sectoral uncertainty raises unemployment by requiring greater reallocation across sectors.
Item Description:	"February 2015." "Research Department."
Physical Description:	1 online resource (26 pages) : color illustrations.
Bibliography:	Includes bibliographical references (pages 13-15).
ISBN:	1498356303 9781498356305 9781498328531 1498328539
ISSN:	1018-5941