THE PROPAGATION OF UNCERTAINTY SHOCKS: ROTEMBERG VERSUS CALVO
用向量自回归发现不确定性上升会降低GDP和物价，然后比较两种新凯恩斯模型，发现Rotemberg模型能复现这一结果，而Calvo模型因企业预防性定价反而推高通胀。
Abstract This article studies the effects of uncertainty shocks on economic activity, focusing on inflation. Using a vector autoregression, I show that increased uncertainty has negative demand effects, reducing GDP and prices. I then consider standard New Keynesian models with Rotemberg‐type and Calvo‐type price rigidities. Despite the belief that the two schemes are equivalent, I show that they generate different dynamics in response to uncertainty shocks. In the Rotemberg model, uncertainty shocks decrease output and inflation, in line with the empirical results. By contrast, in the Calvo model, uncertainty shocks decrease output but raise inflation because of firms' precautionary pricing motive.