Lhuissier, Stéphane; Tripier, Fabien - In: Quantitative economics : QE ; journal of the … 12 (2021) 4, pp. 1139-1170
Using a Markov-switching VAR, we show that the effects of uncertainty shocks on output are four times higher in a regime of economic distress than in a tranquil regime. We then provide a structural interpretation of these facts. To do so, we develop a business cycle model in which agents are...