Premium
Asymmetric effects of sectoral shifts under low and high uncertainty
Author(s) -
Berg Kimberly A.,
Vu Nam T.
Publication year - 2021
Publication title -
economic inquiry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.823
H-Index - 72
eISSN - 1465-7295
pISSN - 0095-2583
DOI - 10.1111/ecin.12969
Subject(s) - economics , recession , econometrics , volatility (finance) , general equilibrium theory , empirical evidence , stochastic volatility , microeconomics , macroeconomics , philosophy , epistemology
This paper studies the asymmetric effects of sectoral shifts on economic performance under low and high uncertainty using US data. A sectoral shift is found to induce more depressed economic activity under high uncertainty relative to under low uncertainty. These effects are statistically different across the two uncertainty regimes and are not driven solely by recessions. A tractable two‐sector dynamic stochastic general equilibrium model with sectoral shifts and stochastic volatility is able to qualitatively explain these empirical findings.