Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2020.1780145
The level effect and volatility effect of uncertainty shocks in China
Shangfeng Zhang
Yaoxin Liu
Haitong Chen
Chun Zhu
Congcong Chen
Chenpei Hu
Longbin Xu
Yinan Yang
Sažetak
Previous studies have assumed that the volatility of exogenous
shocks is constant, which can only measure the level effects of
uncertain shocks. This article introduces the time-varying volatility
model into a Dynamic Stochastic General Equilibrium (D.S.G.E.)
model and uses the third-order perturbation method to identify
and decompose the level and volatility effects of uncertainty
shocks. Based on the results of empirical research in China, the
effect of volatility shocks is different from that of level shocks: the
effect of level shocks is direct and positive, and its impact is
larger, while the effect of volatility shocks is indirect and negative,
and its impact is smaller. This article also finds that the impact of
uncertainty shocks will lead to economic stagnation, inflation, and
the stagflation effect.
Ključne riječi
uncertainty shocks; timevarying volatility; Dynamic Stochastic General Equilibrium (D.S.G.E.) model; perturbation method; stagflation effect
Hrčak ID:
300002
URI
Datum izdavanja:
31.12.2021.
Posjeta: 182 *