01895cas a2200253 a 4500 AALejournalIMF017934 230101c9999 xx r poo 0 0eng d 5.00 USD 9781484320723 1018-5941 BD-DhAAL BD-DhAAL Cesa-Bianchi, Ambrogio. Uncertainty, Financial Frictions and Nominal Rigidities : A Quantitative Investigation / Ambrogio Cesa-Bianchi, Emilio Fernandez Corugedo. Washington, D.C. : International Monetary Fund, 2017. 1 online resource (45 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students Are uncertainty shocks a major source of business cycle fluctuations? This paper studies the effect of a mean preserving shock to the variance of aggregate total factor productivity (macro uncertainty) and to the dispersion of entrepreneurs' idiosyncratic productivity (micro uncertainty) in a financial accelerator DSGE model with sticky prices. It explores the different mechanisms through which uncertainty shocks are propagated and amplified. The time series properties of macro and micro uncertainty are estimated using U.S. aggregate and firm-level data, respectively. While surprise increases in micro uncertainty have a larger impact on output than macro uncertainty, these account for a small (non-trivial) share of output volatility. Mode of access: Internet Corugedo, Emilio Fernandez. IMF Working Papers; Working Paper ; No. 2017/211 Full text available on IMF http://elibrary.imf.org/view/journals/001/2017/211/001.2017.issue-211-en.xml IMF e-Library