Using Disasters to Estimate the Impact of Uncertainty
利用自然灾害、恐怖袭击和政治冲击作为工具变量，研究发现不确定性上升会显著抑制经济增长，该结果在多种模型设定下稳健。
Abstract Uncertainty rises in recessions and falls in booms. But what is the causal relationship? We construct cross-country panel data on stock market returns to proxy for first- and second-moment shocks and instrument these with natural disasters, terrorist attacks, and political shocks. Our IV regression results reveal a robust negative short-term impact of second moments (uncertainty) on growth. Employing multiple vector autoregression estimation approaches, relying on a range of identifying assumptions, also reveals a negative impact of uncertainty on growth. Finally, we show that these results are reproducible in a conventional micro–macro business cycle model with time-varying uncertainty.