Uncertainty and the Economy: The Evolving Distributions of Aggregate Supply and Demand Shocks
估计了总供给和总需求冲击的时变分布，区分传统高斯不确定性与负偏态相关的“坏”不确定性，发现大缓和源于供给冲击波动和需求高斯成分的下降，而“坏”需求不确定性上升导致GDP和通胀条件偏态降低。
We estimate the time-varying distribution of aggregate supply (AS) and aggregate demand (AD) shocks. We distinguish between traditional Gaussian uncertainty and “bad” uncertainty, associated with negative skewness. The Great Moderation is driven by a reduction in the volatility of AS shocks and the Gaussian component of AD shocks. The increased role of “bad” demand uncertainty implies that the conditional skewness of GDP growth and inflation has decreased over time. The correlation between AS/AD shocks and shocks to their conditional volatilities is generally strongly negative. The correlation between inflation and growth shocks has increased due to a decrease in AS volatility.