[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
IDEAS home Printed from https://ideas.repec.org/p/een/camaaa/2019-83.html
   My bibliography  Save this paper

Uncertainty in a disaggregate model: A data rich approach using Google search queries

Author

Listed:
  • Kalvinder Shields
  • Trung Duc Tran
Abstract
This paper estimates the impact of uncertainty shocks in a disaggregate model featuring state-level unemployment and uncertainty, which is measured using Google search data. We show that the disaggregate model captures important spillover effects which a model using aggregate data would overlook resulting in significantly different peak responses and time dynamic effects. We find the effect of uncertainty shocks on state-level unemployment is recessionary and heterogeneous. The importance of national factors in propagating the effect of uncertainty is also heterogeneous across states, and overall less relevant than state-level factors. These heterogeneous effects are found to be related to state-specific industry compositions and the fiscal position.

Suggested Citation

  • Kalvinder Shields & Trung Duc Tran, 2019. "Uncertainty in a disaggregate model: A data rich approach using Google search queries," CAMA Working Papers 2019-83, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Handle: RePEc:een:camaaa:2019-83
    as

    Download full text from publisher

    File URL: https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2019-11/83_2019_shields_tran_0.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 52(3), pages 323-335, September.
    2. Michele Costola & Michael Donadelli & Luca Gerotto & Ivan Gufler, 2022. "Global risks, the macroeconomy, and asset prices," Empirical Economics, Springer, vol. 63(5), pages 2357-2388, November.
    3. Donadelli, Michael & Gufler, Ivan & Pellizzari, Paolo, 2020. "The macro and asset pricing implications of rising Italian uncertainty: Evidence from a novel news-based macroeconomic policy uncertainty index," Economics Letters, Elsevier, vol. 197(C).
    4. Wei‐Fong Pan & James Reade & Shixuan Wang, 2022. "Measuring US regional economic uncertainty," Journal of Regional Science, Wiley Blackwell, vol. 62(4), pages 1149-1178, September.

    More about this item

    Keywords

    Google Trends uncertainty; uncertainty shocks; regional effects;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:een:camaaa:2019-83. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Cama Admin (email available below). General contact details of provider: https://edirc.repec.org/data/asanuau.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.