Sources of Monetary Growth Uncertainty and Economic Activity: The Time- Varying-Parameter Model with Heteroskedastic Disturbances
研究货币增长不确定性的不同来源如何影响美国实际GNP，发现不同来源的不确定性对经济活动有不同影响，支持不可逆投资与不确定性文献的预测。
A large body of research suggests that uncertainty is an important factor affecting economic activity. Most earlier research, however, fails to consider the possibility that uncertainty may affect the value of new information and economic activity differently, depending upon its source. The author first examines the importance of these different sources for modeling U.S. monetary growth uncertainty. He then empirically relates different sources of monetary growth uncertainty to economic activity measured by real GNP. The results suggest that different sources of uncertainty have different impacts on economic activity. The results tend to confirm predictions arising in the literature on irreversible investment and uncertainty. Copyright 1993 by MIT Press.