The Impact of Uncertainty Shocks
The Impact of Uncertainty Shocks
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DOI：
10.3982/ecta6248
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发表时间：
2009-05-01
期刊：
影响因子：
6.1
通讯作者：
Bloom, Nicholas
中科院分区：
文献类型：
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作者：
Bloom, Nicholas
不确定性似乎在古巴导弹危机、肯尼迪遇刺、石油输出国组织第一次会议（OPEC I）油价冲击和9/11恐怖袭击等重大冲击之后突然上升。本文提供了一个结构框架来分析这些不确定性冲击的影响。我建立了一个模型，随时间变化的二阶矩，这是数值求解和估计使用公司级的数据。然后，参数化模型被用来模拟宏观不确定性冲击，这会导致总产出和就业的快速下降和反弹。这是因为更高的不确定性导致企业暂时停止投资和招聘。生产率增长也会福尔斯，因为这种活动的停顿冻结了各部门之间的再分配。从中期来看，冲击带来的波动性增加会导致产出、就业和生产率的超调。因此，不确定性冲击会导致短期的急剧衰退和复苏。这种模拟的不确定性冲击的影响相比，向量自回归估计的实际数据，显示出良好的匹配幅度和时间。本文还联合估计劳动力和资本调整成本（凸和非凸）。忽略资本调整成本会导致实质性偏差，而忽略劳动力调整成本则不会。
Uncertainty appears to jump up after major shocks like the Cuban Missile crisis, the assassination of JFK, the OPEC I oil-price shock, and the 9/11 terrorist attacks. This paper offers a structural framework to analyze the impact of these uncertainty shocks. I build a model with a time-varying second moment, which is numerically solved and estimated using firm-level data. The parameterized model is then used to simulate a macro uncertainty shock, which produces a rapid drop and rebound in aggregate output and employment. This occurs because higher uncertainty causes firms to temporarily pause their investment and hiring. Productivity growth also falls because this pause in activity freezes reallocation across units. In the medium term the increased volatility from the shock induces an overshoot in output, employment, and productivity. Thus, uncertainty shocks generate short sharp recessions and recoveries. This simulated impact of an uncertainty shock is compared to vector autoregression estimations on actual data, showing a good match in both magnitude and timing. The paper also jointly estimates labor and capital adjustment costs (both convex and nonconvex). Ignoring capital adjustment costs is shown to lead to substantial bias, while ignoring labor adjustment costs does not.