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1 results

  • Better understanding how uncertainty impacts the economy: Insights from internet search data on the importance of disaggregation

  • Kalvinder Shields, Trung Duc Tran
  • Journal:
    Macroeconomic Dynamics / Volume 27 / Issue 5 / July 2023
    Published online by Cambridge University Press:
    21 June 2022, pp. 1319-1344
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  • We study the impact of uncertainty shocks using a disaggregated model featuring US state-level unemployment, and uncertainty measured using state-level Google search data. Importantly, the model captures spillovers across states and identifies substantial differences in peak responses and time dynamics. Moreover, the importance of national factors in propagating the effect of uncertainty is also heterogeneous across states, but less relevant than state-level factors. These heterogeneous effects are related to state-specific industry compositions and fiscal positions. In addition, we highlight the usefulness of disaggregated data in models of uncertainty and economic activity for the USA, based on the superior ability of the disaggregate model to predict aggregate uncertainty and unemployment.