A Simple Explanation of Countercyclical Uncertainty

• 成果类型: Article
• 署名作者: Bernstein, Joshua; Plante, Michael; Richter, Alexander w.; Throckmorton, Nathaniel a.
• 署名单位: Indiana University System; Indiana University Bloomington; Federal Reserve System - USA; Federal Reserve Bank - Dallas; William & Mary
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20220134
• 发表日期: 2024
• 页码: 143-171
• 关键词: equilibrium unemployment; cyclical behavior; temporal behavior; business cycles; job destruction; monetary-policy; asset returns; risk-aversion; labor-market; volatility

摘要

This paper documents that labor search and matching frictions generate countercyclical uncertainty because the inherent nonlinearity in the flow of new matches makes employment uncertainty increasing in the number of people searching for work. Quantitatively, this mechanism is strong enough to explain uncertainty and real activity dynamics, including their correlation. Through this lens, uncertainty fluctuations are endogenous responses to changes in real activity that neither affect the severity of business cycles nor warrant policy intervention, in contrast with leading theories of the interaction between uncertainty and real activity dynamics. ( JEL D81, E23, E24, E32, J41, J63, J64)