Empirical Evidence on the Dynamics of Investment Under Uncertainty in the U.S.*
使用带漂移参数和随机波动的向量自回归模型，研究美国金融不确定性冲击对消费和投资增长的时变影响，发现其负面效应在零利率下限时期更为显著，但在大衰退中作用有限。
Abstract We study the time‐varying effects of financial uncertainty shocks in the United States using a vector autoregression with drifting parameters and stochastic volatilities. We find negative effects of financial uncertainty shocks on real activity with both consumption and investment growth declining significantly and comoving along the entire sample. These effects remained fairly stable in the post‐WWII period but the negative response of investment growth became more pronounced during the Zero Lower Bound episode. Our findings lend empirical support to theoretical frameworks that can successfully capture this macroeconomic comovement following an uncertainty shock. Remarkably, we find a limited role for financial uncertainty shocks during the Great Recession.