Data and Code for: A Simple Explanation of Countercyclical Uncertainty

Principal Investigator(s): View help for Principal Investigator(s) Joshua Bernstein, Indiana University; Michael Plante, Federal Reserve Bank of Dallas; Alexander W. Richter, Federal Reserve Bank of Dallas; Nathaniel A. Throckmorton, William & Mary

Version: View help for Version V1

Name	File Type	Size	Last Modified
replication-files			06/23/2023 11:53:PM

Project Citation:

Bernstein, Joshua, Plante, Michael, Richter, Alexander W., and Throckmorton, Nathaniel A. Data and Code for: A Simple Explanation of Countercyclical Uncertainty. Nashville, TN: American Economic Association [publisher], 2024. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-08-23. https://doi.org/10.3886/E184121V1

Project Description

Summary:

This paper documents that labor search and matching frictions generate countercyclical uncertainty because the inherent nonlinearity in the flow of new matches makes employment uncertainty increasing in the number of people searching for work. Quantitatively, this mechanism is strong enough to explain uncertainty and real activity dynamics, including their correlation. Through this lens, uncertainty fluctuations are endogenous responses to changes in real activity that neither affect the severity of business cycles nor warrant policy intervention, in contrast with leading theories of the interaction between uncertainty and real activity dynamics.

We provide MATLAB programs (in Code) to transform and detrend data (in Data, which is obtained via Haver Analytics, the authors own calculations, and others), and to solve and simulate models presented in the manuscript. replication.m (with a 92 minute runtime) produces all figures and tables in the manuscript and its online appendix.

Scope of Project

Subject Terms: Endogenous Uncertainty; Uncertainty Shocks; Variance Decomposition; Nonlinear

JEL Classification:
      C13 Estimation: General
      D81 Criteria for Decision-Making under Risk and Uncertainty
      E32 Business Fluctuations; Cycles
      E37 Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
      J64 Unemployment: Models, Duration, Incidence, and Job Search

Geographic Coverage: The United States

Time Period(s): 1963 – 2019

Universe: Aggregate/macroeconomic time-series data for the United States

Data Type(s): aggregate data; program source code

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Published Versions

V1 [2024-08-23]

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