The Impact of Uncertainty Shocks

Uncertainty appears to jump up after major shocks like the Cuban Missile crisis, the assassination of JFK, the OPEC I oil-price shock and the 9/11 terrorist attack. This paper offers a structural framework to analyze the impact of these uncertainty shocks. I build a model with a time varying second

在古巴导弹危机、约翰·F·肯尼迪遇刺事件、OPEC I石油价格冲击以及9·11恐怖袭击等重大冲击发生后，不确定性水平似乎会显著攀升。本文提供了一套结构化框架，用以分析此类不确定性冲击所产生的影响。本文构建了一个具备时变二阶特征的模型。