ABSTRACT

This article introduces the use of the sign restrictions methodology to identify uncertainty shocks. We apply our methodology to a class of vector autoregression models with stochastic volatility that allow volatility fluctuations to impact the conditional mean. We combine sign restrictions on the conditional mean and conditional second moment impulse responses to identify financial and macro uncertainty shocks. On U.S. data, we find stronger evidence that financial uncertainty shocks lead to a decline in real activity and an easing of the federal funds rate relative to macro uncertainty shocks. Supplementary materials for this article are available online.

摘要

本文介绍了使用符号限制方法来识别不确定性冲击。我们将我们的方法应用于具有随机波动率的矢量自回归模型，该模型允许波动率波动影响条件均值。我们结合对条件均值和条件第二刻冲动响应的符号限制，以识别金融和宏观不确定性冲击。根据美国数据，我们发现更有力的证据表明，相对于宏观不确定性冲击，金融不确定性冲击导致实际活动减少，联邦基金利率降低。可在线获得本文的补充材料。