{"id":"https://openalex.org/W4246628215","doi":"https://doi.org/10.26509/frbc-wp-201805","title":"Endogenous Uncertainty","display_name":"Endogenous Uncertainty","publication_year":2018,"publication_date":"2018-03-28","ids":{"openalex":"https://openalex.org/W4246628215","doi":"https://doi.org/10.26509/frbc-wp-201805"},"language":"en","primary_location":{"id":"doi:10.26509/frbc-wp-201805","doi":"https://doi.org/10.26509/frbc-wp-201805","is_oa":true,"landing_page_url":"https://doi.org/10.26509/frbc-wp-201805","pdf_url":"https://www.clevelandfed.org/-/media/project/clevelandfedtenant/clevelandfedsite/publications/working-papers/2018/wp-1805-endogenous-uncertainty-pdf.pdf","source":{"id":"https://openalex.org/S4210204369","display_name":"Working paper","issn_l":"2573-7945","issn":["2573-7945","2573-7953"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Working paper (Federal Reserve Bank of Cleveland)","raw_type":"report"},"volume":null,"type":"report","is_traditional":false,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://www.clevelandfed.org/-/media/project/clevelandfedtenant/clevelandfedsite/publications/working-papers/2018/wp-1805-endogenous-uncertainty-pdf.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5082187758","display_name":"Andrea Carriero","orcid":"https://orcid.org/0000-0002-4409-2870","observed_orcids":["https://orcid.org/0000-0002-4409-2870"]},"institutions":[{"id":"https://openalex.org/I124357947","display_name":"University of London","ror":"https://ror.org/04cw6st05","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947"]},{"id":"https://openalex.org/I166337079","display_name":"Queen Mary University of London","ror":"https://ror.org/026zzn846","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I166337079"]},{"id":"https://openalex.org/I2802905149","display_name":"Federal Reserve Board of Governors","ror":"https://ror.org/00v448643","country_code":"US","type":"government","lineage":["https://openalex.org/I1317239608","https://openalex.org/I2802905149"]},{"id":"https://openalex.org/I9360294","display_name":"University of Bologna","ror":"https://ror.org/01111rn36","country_code":"IT","type":"education","lineage":["https://openalex.org/I9360294"]}],"countries":["GB","IT","US"],"is_corresponding":false,"raw_author_name":"Andrea Carriero","raw_affiliation_strings":["Queen Mary, University of London, Mile End Road, London, London E1 4NS, United Kingdom","University of Bologna, Piazza Scaravilli 2, Bologna, 40100, Italy","Federal Reserve Board","University of London, Todd E"],"raw_orcid":"https://orcid.org/0000-0002-4409-2870","affiliations":[{"raw_affiliation_string":"Queen Mary, University of London, Mile End Road, London, London E1 4NS, United Kingdom","institution_ids":["https://openalex.org/I166337079"]},{"raw_affiliation_string":"University of Bologna, Piazza Scaravilli 2, Bologna, 40100, Italy","institution_ids":["https://openalex.org/I9360294"]},{"raw_affiliation_string":"Federal Reserve Board","institution_ids":["https://openalex.org/I2802905149"]},{"raw_affiliation_string":"University of London, Todd E","institution_ids":["https://openalex.org/I124357947"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5070248488","display_name":"Todd E. Clark","orcid":"https://orcid.org/0000-0002-4985-1709","observed_orcids":["https://orcid.org/0000-0002-4985-1709","https://orcid.org/0000-0001-5773-1064"]},"institutions":[{"id":"https://openalex.org/I124357947","display_name":"University of London","ror":"https://ror.org/04cw6st05","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947"]},{"id":"https://openalex.org/I4210109900","display_name":"Federal Reserve Bank of Cleveland","ror":"https://ror.org/01wxdvj03","country_code":"US","type":"other","lineage":["https://openalex.org/I1317239608","https://openalex.org/I4210109900"]}],"countries":["GB","US"],"is_corresponding":true,"raw_author_name":"Todd E. Clark","raw_affiliation_strings":["Federal Reserve Bank of Cleveland, P.O. Box 6387, Cleveland, OH 44101, United States","Federal Reserve Bank of Cleveland","University of London, Todd E"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Federal Reserve Bank of Cleveland, P.O. Box 6387, Cleveland, OH 44101, United States","institution_ids":["https://openalex.org/I4210109900"]},{"raw_affiliation_string":"Federal Reserve Bank of Cleveland","institution_ids":["https://openalex.org/I4210109900"]},{"raw_affiliation_string":"University of London, Todd E","institution_ids":["https://openalex.org/I124357947"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5065544496","display_name":"Massimiliano Giuseppe Marcellino","orcid":"https://orcid.org/0000-0002-8737-2768","observed_orcids":["https://orcid.org/0000-0002-8737-2768"]},"institutions":[{"id":"https://openalex.org/I124357947","display_name":"University of London","ror":"https://ror.org/04cw6st05","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947"]},{"id":"https://openalex.org/I2802905149","display_name":"Federal Reserve Board of Governors","ror":"https://ror.org/00v448643","country_code":"US","type":"government","lineage":["https://openalex.org/I1317239608","https://openalex.org/I2802905149"]},{"id":"https://openalex.org/I4210140326","display_name":"Centre for Economic Policy Research","ror":"https://ror.org/04jzmdh37","country_code":"GB","type":"nonprofit","lineage":["https://openalex.org/I4210140326"]},{"id":"https://openalex.org/I71209653","display_name":"Bocconi University","ror":"https://ror.org/05crjpb27","country_code":"IT","type":"education","lineage":["https://openalex.org/I71209653"]}],"countries":["GB","IT","US"],"is_corresponding":false,"raw_author_name":"Massimiliano Marcellino","raw_affiliation_strings":["Bocconi University - Department of Economics","Centre for Economic Policy Research (CEPR)","Federal Reserve Board","University of London, Todd E"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Bocconi University - Department of Economics","institution_ids":["https://openalex.org/I71209653"]},{"raw_affiliation_string":"Centre for Economic Policy Research (CEPR)","institution_ids":["https://openalex.org/I4210140326"]},{"raw_affiliation_string":"Federal Reserve Board","institution_ids":["https://openalex.org/I2802905149"]},{"raw_affiliation_string":"University of London, Todd E","institution_ids":["https://openalex.org/I124357947"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":7,"corresponding_author_ids":["https://openalex.org/A5070248488"],"corresponding_institution_ids":["https://openalex.org/I124357947","https://openalex.org/I4210109900"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":49,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.8428000211715698,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.8428000211715698,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.10890000313520432,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.03269999846816063,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/macroeconomic-uncertainty","display_name":"macroeconomic uncertainty","score":0.8309999704360962},{"id":"https://openalex.org/keywords/financial-uncertainty","display_name":"financial uncertainty","score":0.9850000143051147},{"id":"https://openalex.org/keywords/endogenous-uncertainty","display_name":"endogenous uncertainty","score":0.7900000214576721},{"id":"https://openalex.org/keywords/uncertainty-shocks","display_name":"uncertainty shocks","score":0.9369999766349792},{"id":"https://openalex.org/keywords/volatility-spillovers","display_name":"volatility spillovers","score":0.44200000166893005},{"id":"https://openalex.org/keywords/structural-vector-autoregression","display_name":"structural vector autoregression","score":0.5070000290870667},{"id":"https://openalex.org/keywords/time-varying-volatility","display_name":"time-varying volatility","score":0.9919999837875366},{"id":"https://openalex.org/keywords/heteroscedasticity","display_name":"heteroscedasticity","score":0.9010000228881836},{"id":"https://openalex.org/keywords/mcmc-estimation","display_name":"MCMC estimation","score":0.7289999723434448},{"id":"https://openalex.org/keywords/us-economy","display_name":"United States economy","score":0.6800000071525574}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7489029169082642},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6901062726974487},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6449231505393982},{"id":"https://openalex.org/C153083717","wikidata":"https://www.wikidata.org/wiki/Q6535263","display_name":"Leverage (statistics)","level":2,"score":0.6140782833099365},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.5137027502059937},{"id":"https://openalex.org/C180075932","wikidata":"https://www.wikidata.org/wiki/Q5333342","display_name":"Econometric model","level":2,"score":0.4988713264465332},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.48454371094703674},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.4342612028121948},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.42082250118255615},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1585598886013031},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.09817290306091309},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.26509/frbc-wp-201805","doi":"https://doi.org/10.26509/frbc-wp-201805","is_oa":true,"landing_page_url":"https://doi.org/10.26509/frbc-wp-201805","pdf_url":"https://www.clevelandfed.org/-/media/project/clevelandfedtenant/clevelandfedsite/publications/working-papers/2018/wp-1805-endogenous-uncertainty-pdf.pdf","source":{"id":"https://openalex.org/S4210204369","display_name":"Working paper","issn_l":"2573-7945","issn":["2573-7945","2573-7953"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Working paper (Federal Reserve Bank of Cleveland)","raw_type":"report"},{"id":"doi:10.2139/ssrn.3152579","doi":"https://doi.org/10.2139/ssrn.3152579","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3152579","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"}],"best_oa_location":{"id":"doi:10.26509/frbc-wp-201805","doi":"https://doi.org/10.26509/frbc-wp-201805","is_oa":true,"landing_page_url":"https://doi.org/10.26509/frbc-wp-201805","pdf_url":"https://www.clevelandfed.org/-/media/project/clevelandfedtenant/clevelandfedsite/publications/working-papers/2018/wp-1805-endogenous-uncertainty-pdf.pdf","source":{"id":"https://openalex.org/S4210204369","display_name":"Working paper","issn_l":"2573-7945","issn":["2573-7945","2573-7953"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Working paper (Federal Reserve Bank of Cleveland)","raw_type":"report"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4246628215.pdf","grobid_xml":"https://content.openalex.org/works/W4246628215.grobid-xml"},"referenced_works_count":50,"referenced_works":["https://openalex.org/W1497618959","https://openalex.org/W1517754918","https://openalex.org/W1518940614","https://openalex.org/W1562701093","https://openalex.org/W1598902914","https://openalex.org/W2007732481","https://openalex.org/W2020958936","https://openalex.org/W2033739349","https://openalex.org/W2040826293","https://openalex.org/W2052154620","https://openalex.org/W2105358198","https://openalex.org/W2109425163","https://openalex.org/W2117848702","https://openalex.org/W2120736696","https://openalex.org/W2133073622","https://openalex.org/W2135318979","https://openalex.org/W2144246192","https://openalex.org/W2144836007","https://openalex.org/W2156768302","https://openalex.org/W2166152563","https://openalex.org/W2201292367","https://openalex.org/W2257263437","https://openalex.org/W2293323344","https://openalex.org/W2345751744","https://openalex.org/W2545951854","https://openalex.org/W2738134873","https://openalex.org/W2751707384","https://openalex.org/W2770058355","https://openalex.org/W2775047032","https://openalex.org/W2890538235","https://openalex.org/W2898540939","https://openalex.org/W2900296546","https://openalex.org/W2938232807","https://openalex.org/W2949140175","https://openalex.org/W3023229261","https://openalex.org/W3121275215","https://openalex.org/W3121542497","https://openalex.org/W3122846673","https://openalex.org/W3122918993","https://openalex.org/W3123313489","https://openalex.org/W3123970111","https://openalex.org/W3124444187","https://openalex.org/W3125040857","https://openalex.org/W3125081451","https://openalex.org/W3125521856","https://openalex.org/W3126081245","https://openalex.org/W4236290419","https://openalex.org/W4238099235","https://openalex.org/W4241115065","https://openalex.org/W4292023505"],"related_works":["https://openalex.org/W4214670897","https://openalex.org/W3130641512","https://openalex.org/W3037721210","https://openalex.org/W6991696199","https://openalex.org/W2904734144","https://openalex.org/W3188646204","https://openalex.org/W7111488684","https://openalex.org/W4327969640","https://openalex.org/W4404708838","https://openalex.org/W6960557516"],"abstract_inverted_index":{"We":[0,53,137],"show":[1],"that":[2,62],"macroeconomic":[3,33,106],"uncertainty":[4,20,48,70,124],"can":[5,21],"be":[6],"considered":[7],"as":[8,27],"exogenous":[9],"when":[10],"assessing":[11],"its":[12],"effects":[13,45,67],"on":[14,50,72,79],"the":[15,43,51,82,103,121,128,131,134,151],"U.S.":[16],"economy.":[17,52],"Instead,":[18],"financial":[19,47],"at":[22],"least":[23],"in":[24,42,117],"part":[25],"arise":[26],"an":[28,59,163],"endogenous":[29],"response":[30],"to":[31,40,90],"some":[32],"developments,":[34],"and":[35,75,130,158,161],"overlooking":[36],"this":[37,143],"channel":[38],"leads":[39],"distortions":[41],"estimated":[44],"of":[46,68,76,94,105,120,133,150,155],"shocks":[49,71,78],"obtain":[54],"these":[55,95],"empirical":[56],"findings":[57],"with":[58,114],"econometric":[60,84],"model":[61,154],"simultaneously":[63,91],"allows":[64],"for":[65,142,166],"contemporaneous":[66],"both":[69,93,127],"economic":[73,77],"variables":[74,122],"uncertainty.":[80],"While":[81],"traditional":[83],"approaches":[85],"do":[86],"not":[87],"allow":[88],"us":[89],"identify":[92],"transmission":[96],"channels,":[97],"we":[98,109],"achieve":[99],"identification":[100],"by":[101],"exploiting":[102],"heteroskedasticity":[104],"data.":[107],"Methodologically,":[108],"develop":[110],"a":[111,147],"structural":[112],"VAR":[113],"time-varying":[115],"volatility":[116],"which":[118,145],"one":[119],"(the":[123],"measure)":[125],"impacts":[126],"mean":[129],"variance":[132],"other":[135],"variables.":[136],"provide":[138,162],"conditional":[139],"posterior":[140],"distributions":[141],"model,":[144],"is":[146],"substantial":[148],"extension":[149],"popular":[152],"leverage":[153],"Jacquier,":[156],"Polson,":[157],"Rossi":[159],"(2004),":[160],"MCMC":[164],"algorithm":[165],"estimation.":[167]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":9},{"year":2020,"cited_by_count":7},{"year":2019,"cited_by_count":7},{"year":2018,"cited_by_count":8},{"year":2015,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2022-05-12T00:00:00"}
