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.