Uncertainty Shocks and Business Cycle Research

Fernández-Villaverde, Jesús
Authors registered in the RePEc Author Service: Jesus Fernandez-Villaverde

No 14398, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: 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.

Keywords: Uncertainty shocks; Business cycles; Financial frictions (search for similar items in EconPapers)
JEL-codes: E30 E32 E50 (search for similar items in EconPapers)
Date: 2020-02
New Economics Papers: this item is included in nep-dge, nep-mac and nep-ore
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Citations: View citations in EconPapers (32)

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Journal Article: Uncertainty Shocks and Business Cycle Research (2020)
Working Paper: Uncertainty Shocks and Business Cycle Research (2020)
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