期刊
INTERNATIONAL ECONOMIC REVIEW
卷 58, 期 4, 页码 1317-1354出版社
WILEY
DOI: 10.1111/iere.12253
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资金
- William Ladany Faculty Scholar Fund at the University of Chicago Booth School of Business
- IBM Faculty Research Fund at the University of Chicago Booth School of Business
We investigate the relationship between uncertainty about monetary policy and its transmission mechanism, and economic fluctuations. We propose a new term structure model where the second moments of macroeconomic variables and yields can have a first-order effect on their dynamics. The data favor a model with two unspanned volatility factors that capture uncertainty about monetary policy and the term premium. Uncertainty contributes negatively to economic activity. Two dimensions of uncertainty react in opposite directions to a shock to the real economy, and the response of inflation to uncertainty shocks varies across different historical episodes.
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