This paper revisits the well-known vector autoregressive (VAR) evidence on the real effects of uncertainty shocks by Bloom (2009, https://doi.org/10.3982/ECTA6248). We replicate the results in a narrow sense using EViews. In a wide sense, we extend his study by working with a smooth transition VAR framework that allows for business cycle-dependent macroeconomic responses to an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual simulations point to a greater effectiveness of systematic monetary policy in stabilizing real activity in expansions.

中文翻译：

---

好坏时期的不确定性和货币政策：Bloom (2009) 向量自回归调查的复制

本文重新审视了 Bloom (2009, https://doi.org/10.3982/ECTA6248) 关于不确定性冲击的真实影响的著名向量自回归 (VAR) 证据。我们使用 EViews 在狭义上复制结果。从广义上讲，我们通过使用平滑过渡 VAR 框架来扩展他的研究，该框架允许依赖于商业周期的宏观经济对不确定性冲击做出反应。我们发现经济衰退中实际活动的反应明显更强。反事实模拟表明，系统性货币政策在稳定扩张中的实际活动方面更为有效。