Riassunto analitico
This work starts from the stylized fact that a rise in uncertainty causes negative effects on the economy and increases the risk of recession.
The thesis doesn't focus on the reason behind this, instead it tries to find out what are the determinants of a rise in uncertainty itself.
In particular, there is a focus on the consequences of a monetary policy shock on measures of uncertainty.
The applied econometric approach is threefold: first, quantile regression is used in order to estimate conditional expected distribution of industrial production and obtain uncertainty measures through linear combination of relevant quantiles. Second, a VAR model is estimated and a monetary policy shock is identified using proxy SVAR approach. Third, by unifying coefficients obtained in former steps, effects of monetary policy shock on uncertainty measures are analyzed.\\
Using U.S. data, we find that a monetary policy shock has relevant effects on uncertainty. A rise of federal funds rate provokes an increase in downside and upside risk, as well as a decrease in skewness.
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