Econ Papers Daily / 期刊论文
宏观经济不确定性与经济周期不对称性
Macro‐Economic Uncertainty and Business Cycle Asymmetry
摘要
We propose a modified unobserved‐component model to investigate the link between macro‐economic uncertainty and business cycle asymmetry of the U.S. economy. The degree of skewness of shocks is assumed to vary with macro‐economic uncertainty. We develop an efficient Bayesian Markov Chain Monte Carlo (MCMC) algorithm. Our estimates suggest that high macro‐economic uncertainty tends to be associated with large and negative shocks to the cyclical (but not the trend) component. Quantitatively, a one‐standard‐deviation increase (decrease) in uncertainty results in an expected output change of −0.15 (0.10) percentage points. Low quantiles of the growth distribution, that is, growth‐at‐risk, are particularly susceptible to changes in uncertainty.
中文摘要
我们提出一个改进的不可观测成分模型，以考察宏观经济不确定性与美国经济商业周期非对称性之间的联系。假设冲击的偏度随宏观经济不确定性而变化。我们开发了一种高效的贝叶斯马尔可夫链蒙特卡洛（MCMC）算法。我们的估计表明，高宏观经济不确定性往往与对周期性成分（而非趋势成分）的大幅负向冲击相关。在数量上，不确定性每增加（减少）一个标准差，预期产出变化为−0.15（0.10）个百分点。增长分布的低分位数，即风险增长，尤其易受不确定性变化的影响。