Risk Aversion vs Ambiguity Aversion: what do data tell us? An empirical analysis of the macroeconomic effect of VIX and EPU

In the last years, part of the economic literature focused on the role of uncertainty in the real economy, using both measures of risk aversion and ambiguity aversion in structural models. Following the decoupling between VIX and EPU, concerns about these measures have been raised: are VIX and EPU measuring the same type of uncertainty? The purpose of this work is to investigate the relationship between VIX and EPU, their effect on the real economy and whether they can be distinguished between measures of risk aversion and ambiguity aversion. In particular, the work analyses the effect of uncertainty shocks of VIX and EPU on Industrial Production, Unemployment Rate and Consumer Credit in the US.