How much did uncertainty shocks matter in the Great Depression?

IF 1.5 1区历史学 Q2 ECONOMICS

Cliometrica Pub Date : 2019-08-02 DOI:10.1007/s11698-019-00190-1

Gabriel P. Mathy

引用次数: 0

Abstract

The USA in the 1930s experienced unprecedented uncertainty. Uncertainty shocks buffeted the economy during recessionary periods, but these shocks receded during the recovery periods of the Great Depression. Using vector autoregressions on monthly data for 1919–1941, I show that a one standard deviation increase in uncertainty decreased investment, GDP, industrial output, employment, hours worked, wages, and the price level. I perform a historical decomposition simulation to see how much uncertainty shocks mattered for explaining movements in major variables during the Depression. Roughly 40–70% of the simulated decline in output can be explained by uncertainty shocks in the Great Depression.

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不确定性冲击对大萧条的影响有多大？

20 世纪 30 年代的美国经历了前所未有的不确定性。在经济衰退时期，不确定性冲击对经济造成了冲击，但在大萧条的复苏时期，这些冲击有所减弱。通过对 1919-1941 年的月度数据进行向量自回归分析，我发现不确定性每增加一个标准差，投资、国内生产总值、工业产出、就业、工时、工资和物价水平就会下降。我进行了历史分解模拟，以了解不确定性冲击对解释大萧条期间主要变量的变动有多重要。在模拟的产出下降中，大约有 40-70% 可以用大萧条时期的不确定性冲击来解释。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Cliometrica Multiple-

CiteScore

2.70

自引率

18.80%

发文量

期刊介绍： Cliometrica provides a leading forum for exchange of ideas and research in all facets, in all historical periods and in all geographical locations of historical economics. The journal encourages the methodological debate, the use of economic theory in general and model building in particular, the reliance upon quantification to buttress the models with historical data, the use of the more standard historical knowledge to broaden the understanding and suggesting new avenues of research, and the use of statistical theory and econometrics to combine models with data in a single consistent explanation. The highest standards of quality are promoted. All articles will be subject to Cliometrica''s peer review process. On occasion, specialised topics may be presented in a special issue. Officially cited as: Cliometrica