This paper estimates a nonlinear vector autoregression (VAR) model to assess whether the real effects of monetary policy shocks depend on the level of uncertainty. Crucially, uncertainty is modeled endogenously in the VAR, thus allowing to take account of two unexplored channels of monetary policy transmission working through uncertainty direct reaction and uncertainty mean reversion. We find that monetary policy shocks are about 50–75% more powerful during tranquil times than during firm- and macro-level uncertain times. Failing to account for endogenous uncertainty would bias responses and imply twice more effective monetary policy during tranquil times, mainly because of the non-consideration of uncertainty mean reversion.

中文翻译：

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美国的不确定性和货币政策：迈向非线性领域的旅程

本文估计了一个非线性向量自回归 (VAR) 模型，以评估货币政策冲击的实际影响是否取决于不确定性水平。至关重要的是，不确定性是在 VAR 中内生建模的，因此允许考虑通过不确定性直接反应和不确定性均值回归工作的两个未探索的货币政策传导渠道。我们发现，在稳定时期，货币政策冲击比在公司和宏观层面的不确定时期要强大50-75％。不考虑内生不确定性会导致反应出现偏差，意味着在平静时期货币政策的有效性会提高一倍，这主要是因为没有考虑不确定性均值回归。