| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13450 |
| DP13450 The Origins and Effects of Macroeconomic Uncertainty | |
| Francesco Bianchi; Howard Kung; Mikhail Tirskikh | |
| 发表日期 | 2019-01-14 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We construct and estimate a dynamic stochastic general equilibrium model that features demand- and supply-side uncertainty. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand-side and supply-side uncertainty imply large contractions in real activity and an increase in term premia, but supply-side uncertainty has larger effects on inflation and investment. We introduce a novel analytical decomposition to illustrate how multiple distinct risk propagation channels account for these differences. Supply and demand uncertainty are strongly correlated in the beginning of our sample, but decouple in the aftermath of the Great Recession. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Uncertainty shocks Business cycles Term structure of interest rates Time-varying risk premia |
| URL | https://cepr.org/publications/dp13450 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542265 |
| 推荐引用方式 GB/T 7714 | Francesco Bianchi,Howard Kung,Mikhail Tirskikh. DP13450 The Origins and Effects of Macroeconomic Uncertainty. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
