The USA in the 1930s experienced unprecedented uncertainty. Uncertainty shocks buffeted the economy during recessionary periods, but these shocks receded during the recovery periods of the Great Depression. Using vector autoregressions on monthly data for 1919–1941, I show that a one standard deviation increase in uncertainty decreased investment, GDP, industrial output, employment, hours worked, wages, and the price level. I perform a historical decomposition simulation to see how much uncertainty shocks mattered for explaining movements in major variables during the Depression. Roughly 40–70% of the simulated decline in output can be explained by uncertainty shocks in the Great Depression.

中文翻译：

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大萧条对不确定性冲击有多大影响？

1930年代的美国经历了前所未有的不确定性。不确定性冲击在经济衰退时期打击了经济，但这些冲击在大萧条的复苏时期逐渐减弱。使用1919年至1941年月度数据的向量自回归，我发现不确定性增加一个标准差会降低投资，GDP，工业产出，就业，工作时间，工资和价格水平。我进行了一次历史分解模拟，以了解不确定性冲击对于解释大萧条期间主要变量的运动有多重要。大萧条期间不确定性冲击可以解释模拟产出下降的大约40-70％。