G2TT
来源类型Discussion paper
规范类型论文
来源IDDP13450
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
URLhttps://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.
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