Data and Code for: Uncertainty and the economy: The evolving distributions of aggregate supply and demand shocks

Principal Investigator(s): View help for Principal Investigator(s) Geert Bekaert, Columbia University; Eric Engstrom, The Federal Reserve Board of Governors; Andrey Ermolov, Fordham University

Version: View help for Version V1

Name	File Type	Size	Last Modified
aej_macro_2022_0076_codes			03/01/2025 10:35:PM

Project Citation:

Bekaert, Geert, Engstrom, Eric, and Ermolov, Andrey. Data and Code for: Uncertainty and the economy: The evolving distributions of aggregate supply and demand shocks. Nashville, TN: American Economic Association [publisher], 2025. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2025-12-05. https://doi.org/10.3886/E210101V1

Project Description

Summary:

We estimate the time-varying distribution of aggregate supply (AS) and aggregate demand(AD) shocks. We distinguish between traditional Gaussian uncertainty and "bad" uncertainty, associated with negative skewness. The Great Moderation is driven by a reduction in the volatility of AS shocks and the Gaussian component of AD shocks. The increased role of "bad" demand uncertainty implies that the conditional skewness of GDP growth and inflation has decreased over time. The correlation between AS/AD shocks and shocks to their conditional volatilities is generally strongly negative. The correlation between inflation and growth shocks has increased due to a decrease in AS volatility.

Scope of Project

Subject Terms: uncertainty shocks; business cycles; Great Moderation; AD/AS shocks; skewness; deflation risk

JEL Classification:
      E31 Price Level; Inflation; Deflation
      E32 Business Fluctuations; Cycles
      E44 Financial Markets and the Macroeconomy

Geographic Coverage: United States of America

Time Period(s): 6/1/1969 – 12/31/2019 (1969Q2-2019Q4)

Collection Date(s): 9/15/2023 – 9/15/2023 (September 15, 2023)

Data Type(s): administrative records data; aggregate data; observational data; other; survey data

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Published Versions

V1 [2025-12-05]

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DDI 2.5

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