期刊
JOURNAL OF MONETARY ECONOMICS
卷 100, 期 -, 页码 1-15出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jmoneco.2018.06.004
关键词
Uncertainty shocks; Disaster risk; Aggregate fluctuations; Surveys of expectations; Firm dispersion
Many modern business cycle models use uncertainty shocks to generate aggregate fluctuations. However, uncertainty is measured in a variety of ways. Our analysis shows that the measures are not the same, either statistically or conceptually, raising the question of whether fluctuations in them are actually generated by the same phenomenon. We propose a mechanism that generates realistic micro dispersion (cross-sectional variance of firm-level outcomes), higher-order uncertainty (disagreement) and macro uncertainty (uncertainty about macro outcomes) from changes in macro volatility. If we want to consider uncertainty shocks as a unified phenomenon, these results show what such a shock might actually entail. (C) 2018 Elsevier B.V. All rights reserved.
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