of aggregate technology and several forward-looking variables, we identify the news shock as the shock orthogonal to …

We provide evidence on the relationship between aggregate uncertainty and the macroeconomy. Identifying uncertainty … are robustly followed by contractions, while shocks to forward-looking uncertainty have no significant effect on the … realization of volatility, rather than uncertainty about the future, that has been associated with declines …

prices, consumption, consumer confidence and inflation, robustly predict three outcomes. First, following a news shock, TFP …

by a shock that does not affect productivity in the short run -- and therefore does not look like a standard technology … shock -- but affects productivity with substantial delay -- and therefore does not look like a monetary shock. One … structural interpretation we suggest for this shock is that it represents news about future technological opportunities which is …

A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded …

, inflation, the output gap, and cash flow growth. We also view risk aversion, uncertainty about inflation and output, and …

financial frictions. An increase in uncertainty about profits lowers stock prices and leads firms to substitute away from debt …-Switching VAR representation of the model, while preserving the effect of uncertainty shocks on the time variation in the equity …