摘要翻译：
信贷可用性的不确定性会引发实际活动放缓吗？这个问题是通过使用一种新的方法来识别对获得信贷的不确定性的冲击来回答的。利用粒子马尔可夫链蒙特卡罗方法估计了信贷可用性不确定性的时变性。我们提取了对时变信贷不确定性的冲击，并将其分解为两个部分：第一部分捕捉冲击对第二时刻的“纯粹”影响；第二个捕捉不确定性的总影响，包括对第一个时刻的影响。使用依赖于状态的局部预测，我们发现“纯”效应本身会导致实际活动的急剧放缓，而且这种效应在很大程度上是反周期的。我们将估计的冲击输入一个带有抵押品约束的弹性价格真实商业周期模型，并表明当抵押品约束绑定时，关于信贷获得的不确定性冲击是衰退性的，导致消费、投资和产出的同时下降。
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英文标题：
《The Interaction Between Credit Constraints and Uncertainty Shocks》
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作者：
Pratiti Chatterjee, David Gunawan and Robert Kohn
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最新提交年份：
2020
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
  Can uncertainty about credit availability trigger a slowdown in real activity? This question is answered by using a novel method to identify shocks to uncertainty in access to credit. Time-variation in uncertainty about credit availability is estimated using particle Markov Chain Monte Carlo. We extract shocks to time-varying credit uncertainty and decompose it into two parts: the first captures the "pure" effect of a shock to the second moment; the second captures total effects of uncertainty including effects on the first moment. Using state-dependent local projections, we find that the "pure" effect by itself generates a sharp slowdown in real activity and the effects are largely countercyclical. We feed the estimated shocks into a flexible price real business cycle model with a collateral constraint and show that when the collateral constraint binds, an uncertainty shock about credit access is recessionary leading to a simultaneous decline in consumption, investment, and output.
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PDF链接：
https://arxiv.org/pdf/2004.14719