| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25386 |
| 来源ID | Working Paper 25386 |
| The Origins and Effects of Macroeconomic Uncertainty | |
| Francesco Bianchi; Howard Kung; Mikhail Tirskikh | |
| 发表日期 | 2018-12-24 |
| 出版年 | 2018 |
| 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 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w25386 |
| 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/583060 |
| 推荐引用方式 GB/T 7714 | Francesco Bianchi,Howard Kung,Mikhail Tirskikh. The Origins and Effects of Macroeconomic Uncertainty. 2018. |
| 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 | ||
| w25386.pdf（1436KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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