Really Uncertain Business Cycles

• 成果类型: Article
• 署名作者: Bloom, Nicholas; Floetotto, Max; Jaimovich, Nir; Saporta-Eksten, Itay; Terry, Stephen J.
• 署名单位: Stanford University; University of Zurich; Tel Aviv University; University of London; University College London; Boston University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA10927
• 发表日期: 2018
• 页码: 1031-1065
• 关键词: irreversible investment; indivisible labor; lumpy investment; volatility; RISK; shocks; MODEL; fluctuations; reallocation; selection

摘要

We investigate the role of uncertainty in business cycles. First, we demonstrate that microeconomic uncertainty rises sharply during recessions, including during the Great Recession of 2007-2009. Second, we show that uncertainty shocks can generate drops in gross domestic product of around 2.5% in a dynamic stochastic general equilibrium model with heterogeneous firms. However, we also find that uncertainty shocks need to be supplemented by first-moment shocks to fit consumption over the cycle. So our data and simulations suggest recessions are best modelled as being driven by shocks with a negative first moment and a positive second moment. Finally, we show that increased uncertainty can make first-moment policies, like wage subsidies, temporarily less effective because firms become more cautious in responding to price changes.