Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

• 成果类型: Article
• 署名作者: Ludvigson, Sydney C.; Ma, Sai; Ng, Serena
• 署名单位: New York University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors; Columbia University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20190171
• 发表日期: 2021
• 页码: 369-410
• 关键词: structural vector autoregressions; Expected stock returns; sign restrictions; RISK; volatility; shocks; MODEL; news; prices; IMPACT

摘要

Uncertainty about the future rises in recessions. But is uncertainty a source of business cycles or an endogenous response to them, and does the type of uncertainty matter? We propose a novel SVAR identification strategy to address these questions via inequality constraints on the structural shocks. We find that sharply higher macroeconomic uncertainty in recessions is often an endogenous response to output shocks, while uncertainty about financial markets is a likely source of output fluctuations.