Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
This paper revisits the well‐known vector autoregressive (VAR) evidence on the real effects of uncertainty shocks by Bloom (2009, https://doi.org/10.3982/ECTA6248). We replicate the results in a narrow sense using EViews. In a wide sense, we extend his study by working with a smooth transition VAR framework that allows for business cycle‐dependent macroeconomic responses to an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual simulations point to a greater effectiveness of systematic monetary policy in stabilizing real activity in expansions.