Quantitative Economics
Journal Of The Econometric Society
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Quantitative Economics: Jul, 2023, Volume 14, Issue 3
The Origins and Effects of Macroeconomic Uncertainty
https://doi.org/10.3982/QE1979
p. 855-896
Francesco Bianchi, Howard Kung, Mikhail Tirskikh
We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and supply‐side uncertainty imply large contractions in real activity and an increase in term premia, but supply‐side uncertainty has larger effects on inflation and investment. We introduce a novel analytical decomposition to illustrate how multiple distinct endogenous risk wedges account for these differences. Supply and demand uncertainty are strongly correlated in the beginning of our sample, but decouple after the Great Recession.
Full Content: Print
Supplemental Material
Supplement to "The Origins and Effects of Macroeconomic Uncertainty"
Francesco Bianchi, Howard Kung, and Mikhail Tirskikh
This zip file contains the replication files for the manuscript.
Supplement to "The Origins and Effects of Macroeconomic Uncertainty"
Francesco Bianchi, Howard Kung, and Mikhail Tirskikh
This online appendix contains material not found within the manuscript.
Journal News
March 5, 2024
Announcing the New Journal Editors
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
