When It Rains It Pours: Cascading Uncertainty Shocks
研究发现不确定性冲击的效果具有超可加性，即多个邻近正向冲击的叠加效应远超各自单独效应之和，这对理解经济波动和风险管理有重要启示。
The effects of uncertainty shocks are superadditive. On the basis of local projections, we find that the combination of nearby positive shocks can be multiple times more powerful than the sum of their stand-alone effects. In a standard New Keynesian dynamic stochastic general equilibrium model, uncertainty shocks are proven to be superadditive only when the model is solved under fourth- (or higher-)order perturbation. The fourth-order solution unlocks the fourth derivative of marginal utility, “edginess, ” which is key to generating stronger reactions to multiple risks and superadditivity. Intuitively, an agent already bearing one risk is less willing to bear another in the presence of edginess.