Measuring Uncertainty and Its Impact on the Economy
提出一个基于大型向量自回归和随机波动率的新模型，同时测量宏观经济和金融不确定性及其对经济的影响。使用美国数据发现不确定性对关键变量有显著影响，但在历史波动中作用有限。
We propose a new model for measuring uncertainty and its effects on the economy, based on a large vector autoregression with stochastic volatility driven by common factors representing macroeconomic and financial uncertainty. The uncertainty measures reflect changes in both the conditional mean and volatility of the variables, and their impact on the economy can be assessed within the same framework. Estimates with U.S. data show substantial commonality in uncertainty, with sizable effects of uncertainty on key macroeconomic and financial variables. However, historical decompositions show a limited role of uncertainty shocks in macroeconomic fluctuations.