Abstract What has been the effect of uncertainty shocks in the U.S. economy over the last century? What are the roles of the financial channel and monetary policy channel in propagating uncertainty shocks? Our empirical strategies enable us to distinguish between the effects of uncertainty shocks on key macroeconomic and financial variables transmitted through each channel. A hundred years of data further allow us to answer these questions from a novel historical perspective. This paper finds robust evidence that financial conditions captured by both borrowing costs and the availability of credit have played a crucial role in propagating uncertainty shocks over the last century. However, heightened uncertainty does not necessarily amplify the adverse effect of financial shocks, suggesting an asymmetric interaction between uncertainty and financial shocks. Interestingly, the monetary policy stance seems to play only a minor role in propagating uncertainty shocks, which is in sharp contrast to the recent claim that binding zero-lower-bound amplifies the negative effect of uncertainty shocks. We argue that the contribution of constrained monetary policy to amplifying uncertainty shocks is largely masked by the joint concurrence of binding zero-lower-bound and tightened financial conditions.

中文翻译：

---

上个世纪的不确定性、金融市场和货币政策

摘要 上个世纪，不确定性冲击对美国经济产生了哪些影响？金融渠道和货币政策渠道在传播不确定性冲击中的作用是什么？我们的经验策略使我们能够区分不确定性冲击对通过每个渠道传播的关键宏观经济和金融变量的影响。一百年的数据进一步让我们从新的历史角度回答这些问题。本文发现强有力的证据表明，借贷成本和信贷可用性所反映的金融状况在上个世纪传播不确定性冲击方面发挥了关键作用。然而，不确定性的加剧并不一定会放大金融冲击的不利影响，表明不确定性和金融冲击之间存在不对称的相互作用。有趣的是，货币政策立场在传播不确定性冲击方面似乎只起次要作用，这与最近声称约束性零下限放大了不确定性冲击的负面影响的说法形成鲜明对比。我们认为，受约束的货币政策对放大不确定性冲击的贡献在很大程度上被具有约束力的零下限和收紧的金融条件的共同同意所掩盖。