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Working Paper

Corrigendum to: Measuring Uncertainty and Its Impact on the Economy

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Carriero, Clark, and Marcellino (2018, CCM2018) used a large BVAR with a factor structure to stochastic volatility lo produce an estimate of time-varying macroeconomic and financial uncertainty and assess uncertainty's effects on the economy. The results in CCM2018 were based on an estimation algorithm that has recently shown to be incorrect by Bognanni (2021) and fixed by Carriero, et al. (2021). In this note we use the algorithm correction of Carriero, et a1. (2021) to correct the estimates of CCM2018. Although the correction has some impact on the original results, the changes are small and the key findings of CCM2018 are upheld.
Topics
Econometrics modeling and forecasting
01.02.2022ISSN 2573-7953 WP 16-22COriginal Paper WP 16-22Revisions WP 16-22RDOI 10.26509/frbc-wp-201622c
Keywords triangular algorithm, Bayesian VARs, stochastic volatility, large datasets
JEL Classification Codes E32, E44, C11, C55

Working Papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded official Federal Reserve Bank of Cleveland publications. The views expressed in this paper are those of the authors and do not represent the views of the Federal Reserve Bank of Cleveland or the Federal Reserve System.

Suggested Citation

Carriero, Andrea, Todd E. Clark, and Massimiliano Marcellino. 2022. “Corrigendum to: Measuring Uncertainty and Its Impact on the Economy.” Federal Reserve Bank of Cleveland, Working Paper No. 16-22C. https://doi.org/10.26509/frbc-wp-201622c