We examine the interaction of uncertainty and credit frictions in a New Keynesian framework. The model considers credit frictions arising from costly-state verification in the provision of loans to fund the acquisition of capital by entrepreneurs and includes three types of time-varying stochastic volatility shocks related to monetary policy uncertainty, financial risk (micro uncertainty), and macro uncertainty. Key parameters are estimated by the simulated method of moments using data from the United States from 1984:Q1 until 2014:Q4. We find that (1) micro uncertainty has first-order effects that are significantly larger than the effects of macro uncertainty and monetary policy uncertainty; (2) poor credit conditions exacerbate the economic drag from micro uncertainty shocks, amplify the effects of monetary policy shocks, and mitigate the impact of total factor productivity (TFP) shocks; (3) a degree of asymmetry and nonscalability appears in response to monetary policy shocks depending on the degree of nominal rigidities and initial conditions; and (4) monetary policy uncertainty accounts for about one-third of business cycle volatility largely by affecting the size of monetary policy shocks.

我们在新凯恩斯主义框架下考察了不确定性和信用摩擦之间的相互作用。该模型在提供贷款以资助企业家购置资金时考虑了成本高昂的国家核查产生的信贷摩擦，包括与货币政策不确定性，金融风险（微观不确定性）和宏观经济相关的三种时变随机波动性冲击。不确定。关键参数是使用1984：Q1到2014：Q4的美国数据，通过矩量的模拟方法估算的。我们发现（1）微观不确定性的一阶效应明显大于宏观不确定性和货币政策不确定性的效应；（2）不良的信贷条件加剧了微观不确定性冲击对经济的拖累，放大了货币政策冲击的影响，并减轻全要素生产率（TFP）冲击的影响；（3）取决于名义刚性和初始条件的程度，货币政策冲击会出现一定程度的不对称和不可扩展性；（4）货币政策的不确定性约占商业周期波动的三分之一，主要是通过影响货币政策冲击的规模。