The origins and effects of macroeconomic uncertainty

• 成果类型: Article
• 署名作者: Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail
• 署名单位: Johns Hopkins University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; University of London; London Business School; Amazon.com
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE1979
• 发表日期: 2023
• 页码: 855-896
• 关键词: Production-based asset pricing; uncertainty shocks; Bayesian methods; term structure of interest rates; time-varying risk premia; business cycles; C11; C32; E32; G12

摘要

We estimate a production-based general equilibrium model featuring demand- and supply-side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand- 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 endogenous risk wedges account for these differences. Supply and demand uncertainty are strongly correlated in the beginning of our sample, but decouple after the Great Recession.