In this paper, we assess the information content and predictive ability of various risk and uncertainty measures in predicting various measures of real economic activity as well as undertake a comparative analysis of the relative importance of uncertainty, monetary policy and leverage shocks in the macroeconomic business cycle. We find that the macroeconomic uncertainty index and the Chicago Fed national financial conditions risk index have the strongest predictive relationship with economic activities. Also, in the context of a Bayesian monetary structural vector autoregressive, we use the penalty function approach to a sequential identification of uncertainty, monetary policy and leverage shocks, and find that uncertainty shocks are a relatively more important source of variations in the economy than traditional monetary policy shocks. However, monetary policy shocks still outperform uncertainty shocks in explaining inflation dynamics.

中文翻译：

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解开不确定性、货币政策和杠杆冲击对经济的影响*

在本文中，我们评估了各种风险和不确定性措施在预测实体经济活动的各种措施方面的信息含量和预测能力，并对不确定性、货币政策和杠杆冲击在宏观经济周期中的相对重要性进行了比较分析。 . 我们发现宏观经济不确定性指数和芝加哥联储国家金融状况风险指数与经济活动的预测关系最强。此外，在贝叶斯货币结构向量自回归的背景下，我们使用惩罚函数方法来顺序识别不确定性、货币政策和杠杆冲击，并发现不确定性冲击是经济中相对更重要的变化来源，而不是传统的货币政策冲击。然而，