The Finance Uncertainty Multiplier

We thank the editor, Harald Uhlig, 3 thoughtful referees, our formal discussants Zhanhui Chen, Nicolas Crouzet, Ian Dew-Becker, Jan Eberly, Simon Gilchrist, Po-Hsuan Hsu, Hyunseob Kim, Howard Kung, Ye Li, Gill Segal, Toni Whited, and the seminar audiences at the Adam Smith Conference, AEA, AFA, Beijing University, BI Norwegian Business School, Cambridge, CEIBS, Chicago, Econometric Society, European Finance Association, Georegetown University, London Business School, Macro Finance Society Workshop, NBER Summer Institute, Melbourne Institute Macroeconomic Policy Meetings, Midwest Finance Association, Minneapolis Fed, NY Fed, Oxford, PBC of Tsinghua University, SAIF, Society for Nonlinear Dynamics and Econometrics, Stanford, Ohio State University, Texas A&M University, UBC Summer Finance Conference, University College London, UCSD, University of Minnesota, University of North Carolina at Chapel Hill, University of Southern California, University of St. Andrews, USC, University of Texas at Austin, University of Texas at Dallas, University of Toronto, WFA, SFS-Calvacade, Utah Winter Finance Conference, World Congress. We thank Jack Favilukis and Stephen Terry for helpful discussions on the numerical algorithm. The NSF and Alfred Sloan Foundation kindly provided research support. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

• May 3, 2018