Term Structure of Uncertainty in the Macroeconomy

Abstract

We would like to thank John Heaton and Vadim Linetsky for helpful comments. Spencer Lyon and Victor Zhorin provided excellent research assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

Policy with Stochastic Hysteresis

“…It is useful to think about the term F t as the cumulative impulse response of the change of the policy today on all future hysteresis functionals. This is similar to Alvarez and Lippi (2019), Alvarez, Le Bihan, and Lippi (2016), Alvarez, Lippi, and Oskolkov (2020) and Borovička, Hansen, Scheinkman (2014), Borovička, Hansen, Hendricks, and Scheinkman (2011), and Borovička and Hansen (2016).…”

“…The closest to our work is a sequence of papers by Borovička, Hansen, and Scheinkman (2014), Borovička, Hansen, Hendricks, andScheinkman (2011), andHansen (2016). They define the concept of the shock elasticity, relate it to impulse responses familiar to macroeconomists, and, importantly, formalize it using Malliavin derivatives.…”

A Probabilistic Solution to High-Dimensional Continuous-Time Macro and Finance Models

“…In the continuous-time setting with diffusion shocks, a mathematical tool-Malliavin derivativehas to be employed to capture the impacts of diffusion shocks on economic time series (e.g. Borovička and Hansen (2016)). This section will start with the brief introduction of the tool and the highlight of its properties relevant to the characterization of economic dynamics.…”

Policy with stochastic hysteresis

“…The closest to our work is a sequence of papers by Borovička, Hansen, and Scheinkman (2014), Borovička, Hansen, Hendricks, andScheinkman (2011), andHansen (2016). They define the concept of the shock elasticity, relate it to impulse responses familiar to macroeconomists, and, importantly, formalize it using Malliavin derivatives.…”