This article examines the connection between economic uncertainty and financial market conditions in South Africa, documenting that the macroeconomic implications of an uncertainty shock differ across financial regimes. A non-linear VAR is estimated where uncertainty is captured by the average volatility of structural shocks in the economy, and the transmission mechanism is characterized by two distinct financial regimes (i.e., financially stressful vs. normal periods). We find that while the deterioration of output following an uncertainty shock is much more prominent during normal periods than during stressful periods, it is much more persistent during stressful financial times. The share of output variance explained by the volatility shocks in normal financial times is more than double the share in stressful times. Uncertainty shocks are found to be inflationary in both regimes, with the impact being larger in the stress regime. While our estimates reveal that financial frictions do not amplify the impact of uncertainty on real output, it does increase the impact on prices.

中文翻译：

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南非不确定性冲击的影响：金融制度的作用

本文研究了南非经济不确定性与金融市场状况之间的联系，记录了不确定性冲击的宏观经济影响因金融体制而异。在不确定性由经济结构性冲击的平均波动率捕获的情况下，估计非线性 VAR，并且传输机制的特征在于两种不同的金融制度（即，金融压力时期与正常时期）。我们发现，虽然不确定性冲击后产出的恶化在正常时期比在压力时期更为突出，但在金融压力时期更为持久。正常金融时期波动性冲击解释的产出差异份额是压力时期份额的两倍多。发现不确定性冲击在两种状态下都会导致通货膨胀，在压力状态下影响更大。虽然我们的估计表明，金融摩擦不会放大不确定性对实际产出的影响，但确实会增加对价格的影响。