Uncertainty and monetary policy in good and bad times: A replication of the vector autoregressive investigation by Bloom (2009)
复制了Bloom（2009）关于不确定性冲击对实体经济影响的向量自回归证据，并扩展为平滑转换VAR模型，发现衰退期实体经济对不确定性冲击的反应更强，且货币政策在扩张期稳定实体经济更有效。
Summary This paper revisits the well‐known vector autoregressive (VAR) evidence on the real effects of uncertainty shocks by Bloom (2009, https://doi.org/10.3982/ECTA6248 ). We replicate the results in a narrow sense using EViews. In a wide sense, we extend his study by working with a smooth transition VAR framework that allows for business cycle‐dependent macroeconomic responses to an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual simulations point to a greater effectiveness of systematic monetary policy in stabilizing real activity in expansions.