Abstract We consider the effects of uncertainty shocks in a nonlinear VAR that allows uncertainty to have amplification effects. When uncertainty is relatively low, fluctuations in uncertainty have small, linear effects. In periods of high uncertainty, the effect of a further increase in uncertainty is magnified. We find that uncertainty shocks in this environment have a more pronounced effect on real economic variables. We also conduct counterfactual experiments to determine the channels through which uncertainty acts. Uncertainty propagates through both the household consumption channel and through businesses delaying investment, providing substantial contributions to the decline in GDP observed after uncertainty shocks. Finally, we find evidence of the ability of systematic monetary policy to mitigate the adverse effects of uncertainty shocks.

中文翻译：

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不确定性冲击的非线性效应

摘要 我们考虑了非线性 VAR 中不确定性冲击的影响，该 VAR 允许不确定性具有放大效应。当不确定性相对较低时，不确定性的波动具有较小的线性影响。在高度不确定的时期，不确定性进一步增加的影响被放大。我们发现这种环境中的不确定性冲击对实体经济变量的影响更为明显。我们还进行了反事实实验，以确定不确定性作用的渠道。不确定性通过家庭消费渠道和企业延迟投资传播，对不确定性冲击后观察到的 GDP 下降做出了重大贡献。最后，我们发现系统性货币政策有能力减轻不确定性冲击的不利影响的证据。