What is the dominant driver of macroeconomic uncertainty? Is it the aggregate demand or the aggregate supply shock? In …. However, an identified uncertainty shock in the data causes a contraction in output and significant declines in consumption … uncertainty resemble the impact of a negative demand shock. These findings suggest that the long-lived supply-driven uncertainty …

across countries through risk variables, spurring a literature on the "global financial cycle." This paper studies how … (conventional and unconventional) monetary policy shocks affect risk and uncertainty in three large economies: the US, euro area …, and Japan. We construct measures of financial risk factors for each country by decomposing option-implied variances of the …

activity to a financial uncertainty shock during the great recession. We replicate this evidence with an estimated DSGE … real activity of an uncertainty shock under different Taylor rules estimated with normal times vs. great recession data … (the latter associated with a stronger response to output). We find that the uncertainty shock-induced output loss …

policy stance. Estimating a nonlinear Vector Autoregressive, we find that an uncertainty shock triggers asymmetric and … fluctuations of GDP. The variance of macroeconomic variables due to the shock is from four to six times larger in recessions than … and the magnitude of the recessionary effects of the shock …