Incertezza positiva e negativa nella distribuzione di crescita prevista del PIL

In this thesis, our objective is to examine how variations in downside and up- side uncertainty within the GDP growth rate forecast distribution influence other macroeconomic variables. Specifically, we define downside uncertainty as the difference between the median and the 10th percentile, and upside uncertainty as the difference between the 90th percentile and the median. We then use a large dataset on the U.S. economy from which we compute the principal components, that are consequently used to determine the per- centiles of the 1-quarter U.S. GDP growth rate forecast distribution. In this way, we can build our upside and downside uncertainty measures. Then we add our measures to several VAR models to see in practice how the two different types of uncertainty impact the economy. We end up with some robustness checks, where we change some specifications of our model to see if the results are still coherent.