Disentangling the Effects of Uncertainty, Monetary Policy and Leverage Shocks on the Economy*
比较了不确定性、货币政策和杠杆冲击对经济周期的影响，发现不确定性冲击比传统货币政策冲击更能解释经济波动，但货币政策冲击在解释通胀方面更有效。
Abstract In this paper, we assess the information content and predictive ability of various risk and uncertainty measures in predicting various measures of real economic activity as well as undertake a comparative analysis of the relative importance of uncertainty, monetary policy and leverage shocks in the macroeconomic business cycle. We find that the macroeconomic uncertainty index and the Chicago Fed national financial conditions risk index have the strongest predictive relationship with economic activities. Also, in the context of a Bayesian monetary structural vector autoregressive, we use the penalty function approach to a sequential identification of uncertainty, monetary policy and leverage shocks, and find that uncertainty shocks are a relatively more important source of variations in the economy than traditional monetary policy shocks. However, monetary policy shocks still outperform uncertainty shocks in explaining inflation dynamics.