经济衰退
商业周期
经济
脉冲响应
计量经济学
凯恩斯经济学
数学
数学分析
作者
Sydney C. Ludvigson,Stefan Ma,Serena Ng
出处
期刊:American Economic Journal: Macroeconomics
[American Economic Association]
日期:2021-10-01
卷期号:13 (4): 369-410
被引量:108
摘要
Uncertainty about the future rises in recessions. But is uncertainty a source of business cycles or an endogenous response to them, and does the type of uncertainty matter? We propose a novel SVAR identification strategy to address these questions via inequality constraints on the structural shocks. We find that sharply higher macroeconomic uncertainty in recessions is often an endogenous response to output shocks, while uncertainty about financial markets is a likely source of output fluctuations. (JEL D81, E23, E32, E44, G14)
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