Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/296343 
Year of Publication: 
2023
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 14 [Issue:] 3 [Year:] 2023 [Pages:] 855-896
Publisher: 
The Econometric Society, New Haven, CT
Abstract: 
We estimate a production-based general equilibrium model featuring demand- and supply-side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand- and supply-side uncertainty imply large contractions in real activity and an increase in term premia, but supply-side uncertainty has larger effects on inflation and investment. We introduce a novel analytical decomposition to illustrate how multiple distinct endogenous risk wedges account for these differences. Supply and demand uncertainty are strongly correlated in the beginning of our sample, but decouple after the Great Recession.
Subjects: 
Production-based asset pricing
uncertainty shocks
Bayesian methods
term structure of interest rates
time-varying risk premia
business cycles
JEL: 
C11
C32
E32
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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