This paper shows that "wait-and-see" dynamics of uncertainty shocks in Bloom (2009) are not necessarily robust over time. Bloom (2009) shows that uncertainty shocks, identified by spikes in stock market volatility from 1962 to 2008, trigger immediate falls in output and employment followed by rapid rebounds after the resolution of uncertainty. This paper finds that if one splits the sample into two sub-samples these findings hold only for the period between 1962 and 1982. Stock market volatility shocks failed to produce "wait-and-see" dynamics after 1983.
All Science Journal Classification (ASJC) codes
- Economics and Econometrics