Replication data for: Uncertainty at the Zero Lower Bound

When the policy rate is at the zero lower bound (ZLB), an increase in uncertainty regarding the future path of exogenous shocks alters the conditional expectations of relevant prices facing households and firms. Accordingly, an increase in uncertainty alters consumption, inflation, and output to a greater extent when the policy rate is constrained than otherwise. Using an empirically rich sticky-price model calibrated to match key features of the US economy, I find that uncertainty can exacerbate the decline of output by about 10 percent in a deep recession that pushes the policy rate to the ZLB.

当政策利率处于零下限（zero lower bound, ZLB）时，针对外生冲击未来路径的不确定性上升，会改变家庭与企业所面临的相关价格的条件预期。因此，当政策利率受到约束时，不确定性上升对消费、通胀与产出的影响幅度将大于政策利率未受约束的情形。本文采用经校准以匹配美国经济关键特征的丰富实证粘性价格模型，研究发现：在将政策利率推至零下限的深度衰退中，不确定性会令产出下滑幅度扩大约10%。