A New Approach to Identifying the Real Effects of Uncertainty Shocks

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.本文介绍了符号约束方法（sign restrictions methodology）在不确定性冲击识别中的应用。我们将该方法应用于一类允许波动率波动影响条件均值的随机波动率（stochastic volatility）向量自回归模型（vector autoregression models）。通过结合对条件均值与条件二阶矩脉冲响应（conditional second moment impulse responses）的符号约束，我们得以识别金融不确定性冲击与宏观不确定性冲击。基于美国数据，我们发现相较于宏观不确定性冲击，金融不确定性冲击会引发实际经济活动下滑以及联邦基金利率（federal funds rate）宽松的证据更为充分。本文的补充材料可在线获取。