Uncertainty, Financial Frictions, and Nominal Rigidities: A Quantitative Investigation
在包含金融加速器和价格粘性的DSGE模型中，研究宏观和微观不确定性冲击的传导机制，发现微观不确定性对总产出的影响更大，但两者仅能解释产出波动的一小部分。
Abstract Are uncertainty shocks a major source of business cycle fluctuations? This paper studies the effect of a mean preserving shock to the variance of aggregate total factor productivity (macro‐uncertainty) and to the dispersion of entrepreneurs' idiosyncratic productivity (micro‐uncertainty) in a financial accelerator dynamic stochastic general equilibrium model with sticky prices. It explores the different mechanisms through which uncertainty shocks are propagated and amplified. The time‐series properties of macro‐ and micro‐uncertainty are estimated using U.S. aggregate and firm‐level data, respectively. While surprise increases in micro‐uncertainty have a larger impact on total output than macro‐uncertainty, these can only account for a small (but nontrivial) share of output volatility.