Sheng_et_al_2022.pdf (536.6 kB)
Persistence of state-level uncertainty of the United States: The role of climate risks
journal contribution
posted on 2023-07-26, 15:49 authored by Xin Sheng, Rangan Gupta, Oğuzhan ÇepniRecent theoretical developments tend to suggest that rare disaster risks enhance the persistence of uncertainty. Given this, we analyse the impact of climate risks (temperature growth or its volatility), as proxies for such unusual events, on the persistence of economic and policy-related uncertainty of the 50 US states in a panel data set-up, over the monthly period of 1984:03 to 2019:12. Using impulse response functions (IRFs) from a regime-based local projections (LPs) model, we show that the impact of an uncertainty shock on uncertainty itself is not only bigger in magnitude when the economy is in the upper-regime of temperature growth or its volatility, but is also, in line with theory, is more persistent. Our results have important policy implications.
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Refereed
- Yes
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215Page range
110500Publication title
Economics LettersISSN
0165-1765External DOI
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ElsevierFile version
- Published version
Language
- eng
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2022-05-09Legacy creation date
2022-05-09Legacy Faculty/School/Department
Faculty of Business & LawUsage metrics
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