Uncertainty across volatility regimes
提出一种利用宏观经济变量波动率突变来识别不确定性冲击的新方法，并用美国月度数据发现不确定性是经济活动下降的外生原因，且其影响在金融动荡时期会放大。
Summary We propose a nonrecursive identification scheme for uncertainty shocks that exploits breaks in the volatility of macroeconomic variables and is novel in the literature on uncertainty. This approach allows us to simultaneously address two major questions in the empirical literature: Is uncertainty a cause or effect of decline in economic activity? Does the relationship between uncertainty and economic activity change across macroeconomic regimes? Results based on a small‐scale vector autoregression with US monthly data suggest that (i) uncertainty is an exogenous source of decline of economic activity, and (ii) the effects of uncertainty shocks amplify in periods of economic and financial turmoil.