Uncertainty and the Economy: The Evolving Distributions of Aggregate Supply and Demand Shocks

• 成果类型: Article
• 署名作者: Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey
• 署名单位: Columbia University; Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve System Board of Governors; Fordham University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20220076
• 发表日期: 2026
• 关键词: STOCK-MARKET VOLATILITY; regime switches; rare disasters; term structure; US; DYNAMICS; IMPACT; POLICY; MODEL; bond

摘要

We estimate the time-varying distribution of aggregate supply (AS) and aggregate demand (AD) shocks. We distinguish between traditional Gaussian uncertainty and bad uncertainty, associated with negative skewness. The Great Moderation is driven by a reduction in the volatility of AS shocks and the Gaussian component of AD shocks. The increased role of bad demand uncertainty implies that the conditional skewness of GDP growth and inflation has decreased over time. The correlation between AS/AD shocks and shocks to their conditional volatilities is generally strongly negative. The correlation between inflation and growth shocks has increased due to a decrease inAS volatility. (JEL C52, D81, E12, E23, E31, E32)