- Published
- 2021-09-28
- Venue
- American Economic Journal Macroeconomics, vol. 13, no. 4, pp. 369-410
- Cited by
- 539
- Open access
- No free copy found
- DOI
- 10.1257/mac.20190171
Abstract
Uncertainty about the future rises in recessions. But is uncertainty a source of business cycles or an endogenous response to them, and does the type of uncertainty matter? We propose a novel SVAR identification strategy to address these questions via inequality constraints on the structural shocks. We find that sharply higher macroeconomic uncertainty in recessions is often an endogenous response to output shocks, while uncertainty about financial markets is a likely source of output fluctuations. (JEL D81, E23, E32, E44, G14)
Cite this paper
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- APA 7
Ludvigson, S. C., Ma, S., & Ng, S. (2021). Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? American Economic Journal Macroeconomics, 13(4), 369–410. https://doi.org/10.1257/mac.20190171
- MLA 9
Ludvigson, Sydney C., et al. "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?" American Economic Journal Macroeconomics, vol. 13, no. 4, 2021, pp. 369–410, https://doi.org/10.1257/mac.20190171.
- Chicago
Ludvigson, Sydney C., Sai Ma, and Serena Ng. "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?" American Economic Journal Macroeconomics 13, no. 4 (2021): 369–410. https://doi.org/10.1257/mac.20190171.
- GOST
Ludvigson S. C., Ma S., Ng S. Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? // American Economic Journal Macroeconomics. — 2021. — Vol. 13, № 4. — P. 369–410. — URL: https://doi.org/10.1257/mac.20190171
- BibTeX
@article{ludvigson2021uncertainty, title = {{Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?}}, author = {Sydney C. Ludvigson and Sai Ma and Serena Ng}, journal = {American Economic Journal Macroeconomics}, year = {2021}, volume = {13}, number = {4}, pages = {369--410}, doi = {10.1257/mac.20190171}, url = {https://doi.org/10.1257/mac.20190171} }- RIS
TY - JOUR AU - Ludvigson, Sydney C. AU - Ma, Sai AU - Ng, Serena TI - Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? JO - American Economic Journal Macroeconomics VL - 13 IS - 4 SP - 369 EP - 410 PY - 2021 DA - 2021/09/28 DO - 10.1257/mac.20190171 UR - https://doi.org/10.1257/mac.20190171 ER -