{
  "title": "Uncertainty and Unemployment: The Effects of Aggregate and Sectoral Channels",
  "publication": "IMF Working Papers, February 23, 2015",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/31/uncertainty-and-unemployment-the-effects-of-aggregate-and-sectoral-channels-42729",
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  "summary": "We study the role of uncertainty shocks in explaining unemployment dynamics, separating out the role of aggregate and sectoral channels.",
  "sections": [
    {
      "heading": "Research question and methodology",
      "content": "- Objective: Study the role of uncertainty shocks in explaining unemployment dynamics, separating aggregate and sectoral channels.\n- Data: S&P500 data from the first quarter of 1957 to third quarter of 2014.\n- Measurement: Construct separate indices to measure aggregate uncertainty and sectoral uncertainty.\n- Empirical approach: Compare effects on the unemployment rate in a standard macroeconomic vector autoregressive (VAR) model."
    },
    {
      "heading": "Key findings",
      "content": "- Aggregate uncertainty:\n  - Leads to an immediate increase in unemployment.\n  - The impact dissipates within a year.\n- Sectoral uncertainty:\n  - Has a long-lived impact on unemployment.\n  - Peak impact occurs after two years.\n- Interpretation:\n  - Results are consistent with aggregate uncertainty operating through a “wait-and-see” mechanism.\n  - Increased sectoral uncertainty raises unemployment by requiring greater reallocation across sectors."
    },
    {
      "heading": "Study metadata and classification",
      "content": "- Authors: Sangyup Choi, Prakash Loungani\n- Publication date: February 23, 2015\n- Series: Working Paper No. 2015/036\n- Issue: 036\n- Volume: 2015\n- Pages: 26\n- DOI: https://doi.org/10.5089/9781498356305.001\n- ISBN: 9781498356305\n- ISSN: 1018-5941\n- Subjects: Financial crises; Financial markets; Global financial crisis of 2008-2009; Labor; Labor markets; Stock markets; Unemployment; Unemployment rate; Vector autoregression\n- Keywords: aggregate uncertainty; cross-industry volatility; deviation from the baseline; Global financial crisis of 2008-2009; Great Recession; labor market; Labor markets; long-term unemployment; long-term unemployment rate; sectoral uncertainty; stock market; Stock markets; uncertainty affect unemployment; uncertainty index; unemployment; unemployment fluctuation; Unemployment rate; WP\n\nIMF Working Paper — \"Uncertainty and Unemployment: The Effects of Aggregate and Sectoral Channels\" by Sangyup Choi and Prakash Loungani (Working Paper No. 2015/036).\n\n---\n\n Content in this bundle\n\n- wp1536 — Uncertainty Shocks and U.S. Unemployment\n  - wp1536 — Uncertainty Shocks and U.S. Unemployment (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp1536 — Uncertainty Shocks and U.S. Unemployment (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/uncertainty-and-unemployment-the-effects-of-aggregate-and-sectoral-channels-42729"
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    "Authors: Sangyup Choi, Prakash Loungani",
    "Published: February 23, 2015",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781498356305.001",
    "Objective: Study the role of uncertainty shocks in explaining unemployment dynamics, separating aggregate and sectoral channels.",
    "Data: S&P500 data from the first quarter of 1957 to third quarter of 2014.",
    "Measurement: Construct separate indices to measure aggregate uncertainty and sectoral uncertainty.",
    "Empirical approach: Compare effects on the unemployment rate in a standard macroeconomic vector autoregressive (VAR) model.",
    "Aggregate uncertainty:",
    "Sectoral uncertainty:",
    "Interpretation:",
    "Authors: Sangyup Choi, Prakash Loungani",
    "Publication date: February 23, 2015",
    "Series: Working Paper No. 2015/036",
    "Issue: 036",
    "Volume: 2015",
    "Pages: 26",
    "DOI: https://doi.org/10.5089/9781498356305.001",
    "ISBN: 9781498356305",
    "ISSN: 1018-5941",
    "Subjects: Financial crises; Financial markets; Global financial crisis of 2008-2009; Labor; Labor markets; Stock markets; Unemployment; Unemployment rate; Vector autoregression",
    "Keywords: aggregate uncertainty; cross-industry volatility; deviation from the baseline; Global financial crisis of 2008-2009; Great Recession; labor market; Labor markets; long-term unemployment; long-term unemployment rate; sectoral uncertainty; stock market; Stock markets; uncertainty affect unemployment; uncertainty index; unemployment; unemployment fluctuation; Unemployment rate; WP",
    "**_wp1536 — Uncertainty Shocks and U.S. Unemployment**"
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