Macroeconomic uncertainty regularly fluctuates in the data. Theory suggests complementarity between capital and labor inputs in production can generate time-varying endogenous uncertainty because the concavity in the production function influences how output responds to productivity shocks in different states of the economy. This paper examines whether complementarity is a quantitatively significant source of time-varying endogenous uncertainty by estimating a nonlinear real business cycle model with a constant elasticity of substitution production function and exogenous volatility shocks. When matching labor share and uncertainty moments, we find at most 16% of the volatility of uncertainty is endogenous. An estimated model without exogenous volatility shocks can endogenously generate all of the empirical variation in uncertainty, but only at the expense of significantly overstating the volatility of the labor share.

宏观经济的不确定性经常在数据中波动。理论表明，生产中资本和劳动力投入之间的互补性会产生随时间变化的内生不确定性，因为生产函数的凹度会影响产出如何应对不同经济状态下的生产率冲击。本文通过估计具有恒定替代生产函数弹性和外生波动性冲击的非线性真实商业周期模型，检验互补性是否是随时间变化的内生不确定性的定量重要来源。当匹配劳动力份额和不确定性时刻时，我们发现最多 16% 的不确定性波动是内生的。没有外生波动性冲击的估计模型可以内生地产生不确定性的所有经验变化，