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2020 ; 37
(ä): S118-S146
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Uncertainty shocks and business cycle research
#MMPMID32834716
Fernández-Villaverde J
; Guerrón-Quintana PA
Rev Econ Dyn
2020[Aug]; 37
(ä): S118-S146
PMID32834716
show ga
We review the literature on uncertainty shocks and business cycle research.
First, we motivate the study of uncertainty shocks by documenting the presence of
time-variation in the volatility of macroeconomic time series. Second, we
enumerate the mechanisms that researchers have postulated to link uncertainty
shocks and business cycles. Third, we outline how we can specify uncertainty
shocks. Fourth, we postulate a real business cycle model augmented with financial
frictions and uncertainty shocks. Fifth, we use the model to illustrate our
previous discussions and to show how uncertainty shocks can be expansionary, a
useful finding in several contexts.