Measuring Uncertainty and Its Impact on the Economy

• 成果类型: Article
• 署名作者: Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
• 署名单位: University of London; Queen Mary University London; Federal Reserve System - USA; Federal Reserve Bank - Cleveland; Bocconi University; Center for Economic & Policy Research (CEPR)
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_00693
• 发表日期: 2018-12
• 页码: 799-815
• 关键词: monetary-policy; stochastic volatility; empirical-evidence; shocks; MODEL; adjustment

摘要

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.