Time-Varying Uncertainty of the Federal Reserve's Output Gap Estimate
使用因子随机波动模型估计美联储工作人员产出缺口估计的共同成分及其时变波动性，发现共同成分具有明显的顺周期性，且其不确定性上升会导致持续负面的经济反应。
Abstract A factor stochastic volatility model estimates the common component to output gap estimates produced by the staff of the Federal Reserve, its time-varying volatility, and time-varying, horizon-specific forecast uncertainty. The output gap estimates are uncertain even well after the fact. Nevertheless, the common component is clearly procyclical, and positive innovations to the common component produce movements in macroeconomic variables consistent with an increase in aggregate demand. Heightened macroeconomic uncertainty, as measured by the common component's volatility, leads to persistently negative economic responses.