时间序列hw代写 1.Estimating the macroeconomic and financial effects of uncertainty shocks The research question is : What are the effects of uncertainty shocks
Estimating the macroeconomic and financial effects of uncertainty shocks
The research question is : What are the effects of uncertainty shocks on macroeconomic and financial activity ?
To answer that question, you have to use the structural VAR method. Important ingredients are :
— Choice of variables to represent economic concepts
— Time span
— Transformation to induce stationarity
— Identification of uncertainty shocks
— Choice of the uncertainty proxy
— Identification strategy
— Impulse responses 时间序列hw代写
— Show impulse response functions of all variables in the VAR to the identified positive uncertainty shock
— Show responses up to 4 years ahead
— Show point estimates and 90% confidence bands
— Show variance decomposition for horizons : 3 months, 1 year, 4 years
— Comment your results. Are uncertainty shocks important ? Do the effects vary a lot across variables (production, prices, stock market, etc.) ?
— Do you obtain similar results as in the literature ?
— Can you explain your results with economic / financial theory ?
— How robust are the results (ordering of variables in case of Cholesky identification, time span, etc.) ?
Here are some suggestions.
— Select macroeconomic and financial indicators that represent important concepts like labor market, production, prices, interest rates, housing market, stock market
— Work with monthly frequency because short-term identification restriction are more likely to hold than with quarterly data
— Time span should be long, but be aware of structural changes that are likely occur over time. Hence, take a long data set, for example since 1960, but do some sensitivity analysis by replying the exercice for shorter time periods (since 1984 and since 2000).
— Apply standard transformations like first difference of logs or first difference. For this part, rely on the literature.
Identification of uncertainty shocks Recall that uncertainty is not observable. You will try several proxies :
— Macroeconomic uncertainty from Jurado, Ludvigson and Ng (2015). Data are available at : https://www.sydneyludvigson.com/macro-and-financial-uncertainty-indexes
— Economic policy uncertainty from Baker. Data are available at : https://www.policyuncertainty.com
— Financial uncertainty
— Realized volatility
— You can use an observable measure
— Or you can construct it from daily SP500 data (+ 5 points if you do that correctly)
— Implied volatility
— You can use an observable measure like VIX
— Or you can construct it by estimating GARCH(1,1) model on SP500 data (+ 5 points if you do that correctly)
— Identification strategy
— You can use Cholesky, but do not forget that this strategy implies a particular ordering of variables.
It is important to consult the following references that contain several structural VAR exercises which will be a source of inspiration for you project.
Baker, S. R., Bloom, N. and Davis, S. J. (2016), “Measuring economic policy uncertainty”, The Quarterly Journal of Economics, 131(40), 1593-1636
Bloom, N. (2008), “The impact of uncertainty shocks”, Econometrica, 77(3), 623-685
Jurado, K., Ludvigson, S. and Ng, S. (2015), “Measuring uncertainty”, American Economic Review 105(3), 1177-1216.
Moran, K., Stevanovic, D. and A. Touré (2021). “Macroeconomic Uncertainty and the COVID- 19 Pandemic : Measure and Impacts on the Canadian Economy”, Canadian Journal of Economics, forthcoming.