A New Approach to Identifying the Real Effects of Uncertainty Shocks
提出用符号约束方法识别不确定性冲击，结合条件均值和二阶矩脉冲响应，区分金融和宏观不确定性冲击。基于美国数据发现金融不确定性冲击更显著地导致实际活动下降和联邦基金利率放松。
This article introduces the use of the sign restrictions methodology to identify uncertainty shocks. We apply our methodology to a class of vector autoregression models with stochastic volatility that allow volatility fluctuations to impact the conditional mean. We combine sign restrictions on the conditional mean and conditional second moment impulse responses to identify financial and macro uncertainty shocks. On U.S. data, we find stronger evidence that financial uncertainty shocks lead to a decline in real activity and an easing of the federal funds rate relative to macro uncertainty shocks. Supplementary materials for this article are available online.