The Common Origin of Uncertainty Shocks
---- Acknowledgements ----
We are grateful to Virgiliu Midrigan, Simon Mongey, and Tom Sargent for useful discussions and suggestions. We thank seminar participants at the SED meetings in Warsaw and the ASSA meetings in San Francisco. The views expressed herein are those of the authors and do not necessarily reflect the position of the Board of Governors of the Federal Reserve, the Federal Reserve System, or the National Bureau of Economic Research.