Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
研究了经济衰退中不确定性上升是经济周期的原因还是结果，发现宏观经济不确定性主要是对产出冲击的内生反应，而金融市场不确定性则可能是产出波动的来源。
Uncertainty about the future rises in recessions. But is uncertainty a source of business cycles or an endogenous response to them, and does the type of uncertainty matter? We propose a novel SVAR identification strategy to address these questions via inequality constraints on the structural shocks. We find that sharply higher macroeconomic uncertainty in recessions is often an endogenous response to output shocks, while uncertainty about financial markets is a likely source of output fluctuations.