| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w18420
|
| 来源ID | Working Paper 18420
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| Uncertainty Shocks in a Model of Effective Demand |
| Susanto Basu; Brent Bundick
|
| 发表日期 | 2012-09-27
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| 出版年 | 2012
|
| 语种 | 英语
|
| 摘要 | Can increased uncertainty about the future cause a contraction in output and its components? An identified uncertainty shock in the data causes significant declines in output, consumption, investment, and hours worked. Standard general-equilibrium models with flexible prices cannot reproduce this comovement. However, uncertainty shocks can easily generate comovement with countercyclical markups through sticky prices. Monetary policy plays a key role in offsetting the negative impact of uncertainty shocks during normal times. Higher uncertainty has even more negative effects if monetary policy can no longer perform its usual stabilizing function because of the zero lower bound. We calibrate our uncertainty shock process using fluctuations in implied stock market volatility, and show that the model with nominal price rigidity is consistent with empirical evidence from a structural vector autoregression. We argue that increased uncertainty about the future likely played a role in worsening the Great Recession. The economic mechanism we identify applies to a large set of shocks that change expectations of the future without changing current fundamentals. |
| 主题 | Macroeconomics
; Business Cycles
; Monetary Policy
|
| URL | https://www.nber.org/papers/w18420
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576096
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推荐引用方式
GB/T 7714 |
Susanto Basu,Brent Bundick. Uncertainty Shocks in a Model of Effective Demand. 2012.
|
|
文件名：
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w18420.pdf
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格式：
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Adobe PDF
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