论文标题
不确定性和财务冲击的宏观经济效应：一种非高斯var方法
Macroeconomic Effect of Uncertainty and Financial Shocks: a non-Gaussian VAR approach
论文作者
论文摘要
巨大的衰退强调了财务和不确定性冲击的作用，因为商业周期波动的驱动力。但是，不确定性冲击可能通过加强财务状况影响经济活动的事实使经验上的这些冲击很难区分。本文研究了美国财务和不确定性冲击在SVAR模型中的宏观经济效应，该模型利用了时间序列的非正常性来确定不确定性和财务冲击。结果表明，宏观经济的不确定性和财务冲击似乎独立影响业务周期以及通过动态互动。不确定性冲击似乎会收紧财务状况，而财务状况与不确定性之间似乎没有因果关系。此外，结果表明，不确定性冲击可能会对超出商业周期的产出和投资产生持久的影响。
The Great Recession highlighted the role of financial and uncertainty shocks as drivers of business cycle fluctuations. However, the fact that uncertainty shocks may affect economic activity by tightening financial conditions makes empirically distinguishing these shocks difficult. This paper examines the macroeconomic effects of the financial and uncertainty shocks in the United States in an SVAR model that exploits the non-normalities of the time series to identify the uncertainty and the financial shock. The results show that macroeconomic uncertainty and financial shocks seem to affect business cycles independently as well as through dynamic interaction. Uncertainty shocks appear to tighten financial conditions, whereas there appears to be no causal relationship between financial conditions and uncertainty. Moreover, the results suggest that uncertainty shocks may have persistent effects on output and investment that last beyond the business cycle.
