Uncertainty shocks are aggregate demand shocks

• 成果类型: Article
• 署名作者: Leduc, Sylvain; Liu, Zheng
• 署名单位: Bank of Canada; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2016.07.002
• 发表日期: 2016
• 页码: 20-35
• 关键词: uncertainty; aggregate demand; Labor search frictions; Option-value channel; unemployment

摘要

Search frictions in the labor market give rise to a new option-value channel through which uncertainty affects aggregate economic activity, and the effects of which are reinforced by the presence of nominal rigidities. With these features, an increase in uncertainty resembles an aggregate demand shock because it increases unemployment and lowers inflation. Using a new empirical measure of uncertainty based on the Michigan survey and a VAR model, we show that these theoretical patterns are consistent with US data. Using a calibrated DSGE model, we show that combining search frictions and nominal rigidities can match the qualitative VAR pattern and account for about 70 percent of the empirical increase in unemployment following an uncertainty shock. Published by Elsevier B.V.