Erschienen in:Banque de France Working Paper ; No. 619
Umfang:
1 Online-Ressource (32 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2908197
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2017 erstellt
Beschreibung:
We ask whether uncertainty about interest rates is important for economic activity. Effects of interest rate uncertainty on the economy are examined through the lens of a small VAR where the assumption that uncertainty can affect real activity contemporaneously but not vice versa is indeed in line with the data. Our measure of uncertainty stems from professional forecasts of short- and long-term interest rates and accounts for both disagreement among forecasters and the perceived variability of future aggregate shocks. Studying a panel of countries we find that subjective interest rate uncertainty has large, negative and persistent effects on the economy