Title: Components of uncertainty
Authors: Vegard Larsen - Norges Bank (Norway) [presenting]
Abstract: Uncertainty is acknowledged to be a source of economic fluctuations. But, does the type of uncertainty matter for the economy's response to an uncertainty shock? A novel identification strategy is offered to disentangle different types of uncertainty. It uses machine learning techniques to classify different types of news instead of specifying a set of keywords. It is found that, depending on its source, the effects of uncertainty on macroeconomic variable may differ. Both good (expansionary effect) and bad (contractionary effect) types of uncertainty exist are found.