What are uncertainty shocks?

• 成果类型: Article
• 署名作者: Kozeniauskas, Nicholas; Orlik, Anna; Veldkamp, Laura
• 署名单位: Banco de Portugal; Federal Reserve System - USA; Columbia University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.06.004
• 发表日期: 2018
• 页码: 1-15
• 关键词: Uncertainty shocks; Disaster risk; aggregate fluctuations; Surveys of expectations; Firm dispersion

摘要

Many modern business cycle models use uncertainty shocks to generate aggregate fluctuations. However, uncertainty is measured in a variety of ways. Our analysis shows that the measures are not the same, either statistically or conceptually, raising the question of whether fluctuations in them are actually generated by the same phenomenon. We propose a mechanism that generates realistic micro dispersion (cross-sectional variance of firm-level outcomes), higher-order uncertainty (disagreement) and macro uncertainty (uncertainty about macro outcomes) from changes in macro volatility. If we want to consider uncertainty shocks as a unified phenomenon, these results show what such a shock might actually entail. (C) 2018 Elsevier B.V. All rights reserved.