News and Uncertainty Shocks
研究发现，用向量自回归模型分别识别的技术新闻冲击和金融不确定性冲击实际上是相关的，并非真正的结构性冲击。作者提出新方法分离两者效应，发现剔除金融不确定性后，新闻冲击对经济活动的短期正面影响增强；而剔除技术相关的“好不确定性”后，金融不确定性冲击的中期负面影响加深。
Abstract We provide novel evidence that technological news and uncertainty shocks, identified one at a time using vector autoregressive (VAR) models as in the literature, are correlated; that is, they are not truly structural . We then proceed by proposing an identification scheme to disentangle the effects of news and financial uncertainty shocks. We find that by removing financial uncertainty effects from news shocks, the positive responses of economic activity to news shocks are strengthened in the short term; and that the negative responses of activity to financial uncertainty shocks are deepened in the medium term as “good uncertainty” effects on technology are purged.