×
Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail

The origins and effects of macroeconomic uncertainty. (English) Zbl 07766861

Quant. Econ. 14, No. 3, 855-896 (2023).

Cited in 1 Document

MSC:

91-XX Game theory, economics, finance, and other social and behavioral sciences

Keywords:

production-based asset pricing; uncertainty shocks; Bayesian methods; term structure of interest rates; time-varying risk premia; business cycles

Software:

Gensys
Cite Review PDF
Full Text: DOI
OA License

References:

[1] Ai, Hengjie (2010), “Information quality and long‐run risk: Asset pricing implications.” The Journal of Finance, 65 (4), 1333-1367.
[2] Albuquerque, Rui, MartinEichenbaum, Victor XiLuo, and SergioRebelo (2016), “Valuation risk and asset pricing.” The Journal of Finance, 71 (6), 2861-2904.
[3] Amisano, Gianni and OresteTristani (2019), “Uncertainty shocks, monetary policy and long‐term interest rates.” Working Paper.
[4] Ang, Andrew, MonikaPiazzesi, and MinWei (2006), “What does the yield curve tell us about GDP growth?” Journal of Econometrics, 131 (1-2), 359-403. · Zbl 1337.91058
[5] Backus, David K., Bryan R.Routledge, and Stanley E.Zin (2010), “Asset prices in business cycle analysis.” Working Paper.
[6] Baker, Scott R., NicholasBloom, and Steven J.Davis (2016), “Measuring economic policy uncertainty.” The Quarterly Journal of Economics, 131 (4), 1593-1636.
[7] Bansal, Ravi, MarianoMax Croce, WenxiLiao, and SamuelRosen (2019), “Uncertainty‐induced reallocations and growth.” Working Paper.
[8] Bansal, Ravi and IvanShaliastovich (2013), “A long‐run risks explanation of predictability puzzles in bond and currency markets.” Review of Financial Studies, 26 (1), 1-33.
[9] Bansal, Ravi and AmirYaron (2004), “Risks for the long run: A potential resolution of asset pricing puzzles.” The Journal of Finance, 59 (4), 1481-1509.
[10] Bansal, Ravi and HaoZhou (2002), “Term structure of interest rates with regime shifts.” The Journal of Finance, 57 (5), 1997-2043.
[11] Basu, Susanto and BrentBundick (2017), “Uncertainty shocks in a model of effective demand.” Econometrica, 85 (3), 937-958. · Zbl 1420.91316
[12] Bekaert, Geert, SeonghoonCho, and AntonioMoreno (2010), “New Keynesian macroeconomics and the term structure.” Journal of Money, Credit and Banking, 42 (1), 33-62.
[13] Berger, David, IanDew‐Becker, and StefanoGiglio (2020), “Uncertainty shocks as second‐moment news shocks.” The Review of Economic Studies, 87 (1), 40-76. · Zbl 1483.91128
[14] Bianchi, Francesco (2013), “Regime switches, agents” beliefs, and post‐world war II US macroeconomic dynamics.” Review of Economic Studies, 80 (2), 463-490.
[15] Bianchi, Francesco (2016), “Methods for measuring expectations and uncertainty in Markov‐switching models.” Journal of Econometrics, 190 (1), 79-99. · Zbl 1419.62502
[16] Bianchi, Francesco and CosminIlut (2017), “Monetary/fiscal policy mix and agents” beliefs.” Review of Economic Dynamics, 26, 113-139.
[17] Bianchi, Francesco, Cosmin L.Ilut, and MartinSchneider (2018), “Uncertainty shocks, asset supply and pricing over the business cycle.” The Review of Economic Studies, 85 (2), 810-854. · Zbl 1405.91215
[18] Bianchi, Francesco, HowardKung, and MikhailTirskikh (2023), “Supplement to ‘The origins and effects of macroeconomic uncertainty’.” Quantitative Economics Supplemental Material, 14, https://doi.org/10.3982/QE1979. · Zbl 07766861 · doi:10.3982/QE1979
[19] Bikbov, Ruslan and MikhailChernov (2010), “No‐arbitrage macroeconomic determinants of the yield curve.” Journal of Econometrics, 159 (1), 166-182. · Zbl 1431.62469
[20] Blanchard, Olivier Jean and Charles M.Kahn (1980), “The solution of linear difference models under rational expectations.” Econometrica: Journal of the Econometric Society, 1305-1311. · Zbl 0438.90022
[21] Bloom, Nicholas (2009), “The impact of uncertainty shocks.” Econometrica, 77 (3), 623-685. · Zbl 1176.91114
[22] Bloom, Nicholas (2014), “Fluctuations in uncertainty.” Journal of Economic Perspectives, 28 (2), 153-176.
[23] Bloom, Nicholas, MaxFloetotto, NirJaimovich, ItaySaporta‐Eksten, and Stephen J.Terry (2018), “Really uncertain business cycles.” Econometrica, 86 (3), 1031-1065. · Zbl 1411.91390
[24] Borovička, Jaroslav and Lars PeterHansen (2014), “Robust preference expansions.” Working Paper.
[25] Bretscher, Lorenzo, AlexHsu, and AndreaTamoni (2017), “Level and volatility shocks to fiscal policy: Term structure implications.” Working Paper.
[26] Campbell, John Y., CarolinPflueger, and Luis M.Viceira (2020), “Macroeconomic drivers of bond and equity risks.” Journal of Political Economy, 128 (8), 3148-3185.
[27] Christiano, Lawrence J., MartinEichenbaum, and Charles L.Evans (2005), “Nominal rigidities and the dynamic effects of a shock to monetary policy.” Journal of Political Economy, 113 (1), 1-45.
[28] Christiano, Lawrence J., RobertoMotto, and MassimoRostagno (2014), “Risk shocks.” American Economic Review, 104 (1), 27-65.
[29] Clara, Nuno, AlexandreCorhay, and HowardKung (2021), “Firm product concentration and asset prices.” Working Paper.
[30] Croce, Massimiliano Mariano (2014), “Long‐run productivity risk: A new hope for production‐based asset pricing?” Journal of Monetary Economics, 66, 13-31.
[31] Del Negro, Marco and FrankSchorfheide (2008), “Forming priors for DSGE models (and how it affects the assessment of nominal rigidities).” Journal of Monetary Economics, 55 (7), 1191-1208.
[32] Den Haan, Wouter J. and AlbertMarcet (1994), “Accuracy in simulations.” The Review of Economic Studies, 61 (1), 3-17. · Zbl 0800.62822
[33] Dew‐Becker, Ian (2012), “Essentially affine approximations for economic models.” Working Paper.
[34] Dew‐Becker, Ian (2014), “Bond pricing with a time‐varying price of risk in an estimated medium‐scale Bayesian DSGE model.” Journal of Money, Credit, and Banking, 46 (5), 837-888.
[35] Duffee, Gregory R. (2013), “Bond pricing and the macroeconomy.” Handbook of the Economics of Finance, 2, 907-967.
[36] Epstein, Larry and StanleyZin (1989), “Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework.” Econometrica, 57 (4), 937-969. · Zbl 0683.90012
[37] Farmer, Roger E. A., Daniel F.Waggoner, and TaoZha (2009), “Understanding Markov‐switching rational expectations models.” Journal of Economic Theory, 144 (5), 1849-1867. · Zbl 1195.91114
[38] Farmer, Roger E. A., Daniel F.Waggoner, and TaoZha (2011), “Minimal state variable solutions to Markov‐switching rational expectations models.” Journal of Economic Dynamics and Control, 35 (12), 2150-2166. · Zbl 1241.91140
[39] Favilukis, Jack and XiaojiLin (2013), “Long run productivity risk and aggregate investment.” Journal of Monetary Economics, 60 (6), 737-751.
[40] Favilukis, Jack and XiaojiLin (2015), “Wage rigidity: A quantitative solution to several asset pricing puzzles.” The Review of Financial Studies, 29 (1), 148-192.
[41] Fernández‐Villaverde, Jesús, PabloGuerrón‐Quintana, KeithKuester, and JuanRubio‐Ramírez (2015), “Fiscal volatility shocks and economic activity.” American Economic Review, 105 (11), 3352-3384.
[42] Fernández‐Villaverde, Jesús, PabloGuerrón‐Quintana, and Juan F.Rubio‐Ramírez (2015), “Estimating dynamic equilibrium models with stochastic volatility.” Journal of Econometrics, 185 (1), 216-229. · Zbl 1331.62464
[43] Fernández‐Villaverde, Jesús and Juan F.Rubio‐Ramírez (2007), “Estimating macroeconomic models: A likelihood approach.” The Review of Economic Studies, 74 (4), 1059-1087. · Zbl 1206.91064
[44] Foerster, Andrew, Juan F.Rubio‐Ramírez, Daniel F.Waggoner, and TaoZha (2016), “Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models.” Quantitative Economics, 7 (2), 637-669. · Zbl 1395.91305
[45] Gârleanu, Nicolae and StavrosPanageas (2015), “Young, old, conservative, and bold: The implications of heterogeneity and finite lives for asset pricing.” Journal of Political Economy, 123 (3), 670-685.
[46] Gourio, Francois (2012), “Disaster risk and business cycles.” American Economic Review, 102 (6), 2734-2766.
[47] Gourio, François and PhuongNgo (2020), “Risk premia at the ZLB: A macroeconomic interpretation.” Working Paper.
[48] Hamilton, James D. (1989), “A new approach to the economic analysis of nonstationary time series and the business cycle.” Econometrica: Journal of the Econometric Society, 357-384. · Zbl 0685.62092
[49] Herskovic, Bernard, BryanKelly, HannoLustig, and StijnVan Nieuwerburgh (2020), “Firm volatility in granular networks.” Journal of Political Economy, 128 (11), 4097-4162.
[50] Hsu, Alex, Erica X.N.Li, and FranciscoPalomino (2014), “Real and nominal equilibrium yield curves with endogenous inflation: A quantitative assessment.” Working Paper.
[51] Jermann, Urban J. (1998), “Asset pricing in production economies.” Journal of Monetary Economics, 41 (2), 257-275.
[52] Jermann, Urban J. (2013), “A production‐based model for the term structure.” Journal of Financial Economics, 109 (2), 293-306.
[53] Jurado, Kyle, Sydney C.Ludvigson, and SerenaNg (2015), “Measuring uncertainty.” American Economic Review, 105 (3), 1177-1216.
[54] Justiniano, Alejandro and Giorgio E.Primiceri (2008), “The time‐varying volatility of macroeconomic fluctuations.” American Economic Review, 98 (3), 604-641.
[55] Kaltenbrunner, Georg and Lars A.Lochstoer (2010), “Long‐run risk through consumption smoothing.” The Review of Financial Studies, 23 (8), 3190-3224.
[56] Kim, Chang‐Jin and Charles R.Nelson (1999), “State‐space models with regime switching.” MIT Press Books.
[57] Kimball, Miles S. (1990), “Precautionary saving in the small and in the large.” Econometrica: Journal of the Econometric Society, 53-73.
[58] Kuehn, Lars (2008), “Asset pricing with real investment commitment.” Working Paper.
[59] Kuehn, Lars‐Alexander, NicolasPetrosky‐Nadeau, and LuZhang (2018), “Endogenous disasters.” American Economic Review, 108 (8), 2212-2245.
[60] Kung, Howard (2015), “Macroeconomic linkages between monetary policy and the term structure of interest rates.” Journal of Financial Economics, 115 (1), 42-57.
[61] Lettau, Martin (2003), “Inspecting the mechanism: Closed‐form solutions for asset prices in real business cycle models.” The Economic Journal, 113 (489), 550-575.
[62] Ludvigson, Sydney C., SaiMa, and SerenaNg (2021), “Uncertainty and business cycles: Exogenous impulse or endogenous response?” American Economic Journal: Macroeconomics, 13 (4), 369-410.
[63] Malkhozov, Aytek (2014), “Asset prices in affine real business cycle models.” Journal of Economic Dynamics and Control, 45, 180-193. · Zbl 1402.91478
[64] Neiman, Brent and Joseph S.Vavra (2019), “The rise of niche consumption.” Working Paper.
[65] Piazzesi, Monika and MartinSchneider (2006), “Equilibrium yield curves.” NBER Macroeconomics Annual, 21, 389-472.
[66] Rotemberg, Julio J. (1982), “Monopolistic price adjustment and aggregate output.” The Review of Economic Studies, 49 (4), 517-531. · Zbl 0489.90022
[67] Rudebusch, Glenn, BrianSack, and EricSwanson (2006), “Macroeconomic implications of changes in the term premium.” Working Paper.
[68] Rudebusch, Glenn D. and Eric T.Swanson (2012), “The bond premium in a DSGE model with long‐run real and nominal.” American Economic Journal: Macroeconomics, 4 (1), 105-143.
[69] Segal, Gill (2019), “A tale of two volatilities: Sectoral uncertainty, growth, and asset prices.” Journal of Financial Economics, 134 (1), 110-140.
[70] Sims, Christopher A. (2002), “Solving linear rational expectations models.” Computational Economics, 20 (1), 1-20. · Zbl 1034.91060
[71] Sims, Christopher A. and TaoZha (2006), “Were there regime switches in us monetary policy?” American Economic Review, 96 (1), 54-81.
[72] Uhlig, Harald (2010), “Easy EZ in DSGE.” Working Paper.
[73] Wachter, Jessica A. (2006), “A consumption‐based model of the term structure of interest rates.” Journal of Financial Economics, 79 (2), 365-399.
[74] Weber, Michael (2015), “Nominal rigidities and asset pricing.” Working Paper.
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.