Downside and Upside Uncertainty Shocks
研究发现，不确定性上升本身并不必然导致经济收缩，只有GDP增长预测分布左尾的扩大（下行不确定性）才是收缩性的，而右尾扩大（上行不确定性）则具有温和扩张效应。该结论基于结合分位数回归与结构向量自回归的新计量方法。
Abstract An increase in uncertainty is not contractionary per se. What is contractionary is a widening of the left tail of the GDP growth forecast distribution, the downside uncertainty. On the contrary, an increase of the right tail, the upside uncertainty, is mildly expansionary. The reason why uncertainty shocks have been previously found to be contractionary is because movements in downside uncertainty dominate existing empirical measures of uncertainty. The results are obtained using a new econometric approach that combines quantile regressions and structural vector autoregressions (VARs).