| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22384 |
| 来源ID | Working Paper 22384 |
| The Common Origin of Uncertainty Shocks | |
| Nicholas Kozeniauskas; Anna Orlik; Laura Veldkamp | |
| 发表日期 | 2016-07-11 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Various types of uncertainty shocks can explain many phenomena in macroeconomics and finance. But does this just amount to inventing new, exogenous, unobserved shocks to explain challenging features of business cycles? This paper argues that three conceptually distinct fluctuations, all called uncertainty shocks, have a common origin. Specifically, we propose a mechanism that generates micro uncertainty (uncertainty about firm-level shocks), macro uncertainty (uncertainty about aggregate shocks) and higher-order uncertainty (disagreement) shocks from a common origin and causes them to covary, just as they do in the data. When agents use standard maximum likelihood techniques and real-time data to re-estimate parameters that govern the probability of disasters, the result is that micro, macro and higher-order uncertainty fluctuate and covary just like their empirical counterparts. Our findings suggest that time-varying disaster risk and the many types of uncertainty shocks are not distinct phenomena. They are outcomes of a quantitatively plausible belief updating process. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w22384 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580057 |
| 推荐引用方式 GB/T 7714 | Nicholas Kozeniauskas,Anna Orlik,Laura Veldkamp. The Common Origin of Uncertainty Shocks. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22384.pdf（420KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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