Measuring the Response of Macroeconomic Uncertainty to Shocks
研究通胀和产出增长的不确定性如何响应冲击，发现存在显著的符号和规模偏差及溢出效应，负向冲击导致更高且更持久的不确定性。
Recent research documents the importance of uncertainty in determining macroeconomic outcomes, but little is known about the transmission of uncertainty across such outcomes. This paper examines the response of uncertainty about inflation and output growth to shocks documenting statistically significant size and sign bias and spillover effects. Uncertainty about inflation is a determinant of output uncertainty, whereas higher growth volatility tends to raise inflation volatility. Both inflation and growth volatility respond asymmetrically to positive and negative shocks. Negative growth and inflation shocks lead to higher and more persistent uncertainty than shocks of equal magnitude but opposite sign. © 2005 President and Fellows of Harvard College and the Massachusetts Institute of Technology.