Identifying Uncertainty Shocks Using the Price of Gold
提出以黄金价格变动作为工具变量，在代理结构向量自回归模型中识别不确定性冲击，发现传统递归方法低估了不确定性冲击对经济活动和货币政策的影响。
We propose an instrument to identify uncertainty shocks in a proxy structural vector autoregressive model (SVAR). The instrument equals the variations in the price of gold around events associated with unexpected changes in uncertainty. These variations correlate with uncertainty shocks because gold is perceived as a safe haven asset. To control for news‐related effects associated with the events we identify uncertainty and news shocks jointly, developing a set‐identified proxy SVAR. We find that the popular recursive approach underestimates the effects of uncertainty shocks and delivers responses for economic activity and monetary policy that have more in common with news shocks than with uncertainty shocks.