Measuring Uncertainty and Its Impact on the Economy
Measuring Uncertainty and Its Impact on the Economy
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DOI：
10.1162/rest_a_00693
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发表时间：
2018-12-01
影响因子：
8
通讯作者：
Marcellino, Massimiliano
中科院分区：
文献类型：
--
作者：
Carriero, Andrea;Clark, Todd E.;Marcellino, Massimiliano
我们提出了一个新的模型来衡量不确定性及其对经济的影响，基于大向量自回归与随机波动率驱动的共同因素代表宏观经济和金融的不确定性。不确定性指标反映了变量的条件均值和波动性的变化，它们对经济的影响可以在同一框架内评估。美国数据的估计显示，不确定性具有很大的共性，不确定性对关键宏观经济和金融变量产生了相当大的影响。然而，历史分解表明，不确定性冲击在宏观经济波动中的作用有限。
We propose a new model for measuring uncertainty and its effects on the economy, based on a large vector autoregression with stochastic volatility driven by common factors representing macroeconomic and financial uncertainty. The uncertainty measures reflect changes in both the conditional mean and volatility of the variables, and their impact on the economy can be assessed within the same framework. Estimates with U.S. data show substantial commonality in uncertainty, with sizable effects of uncertainty on key macroeconomic and financial variables. However, historical decompositions show a limited role of uncertainty shocks in macroeconomic fluctuations.