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We then provide a structural interpretation of these facts. To do so, we develop a business cycle model in which agents are aware of the possibility of regime changes when forming expectations. The model is estimated using a Bayesian minimum distance estimator that minimizes, over the set of structural parameters, the distance between the regime\u2010switching VAR\u2010based impulse response functions and those implied by the model. Our results point to worsening credit\u2010market conditions that amplify shocks during distress periods. Finally, we show that the expectation effect of regime switching in financial conditions is an important component of the financial accelerator mechanism. If agents are more pessimistic about future financial conditions, then the output effects of shocks are amplified.<\/jats:p>","DOI":"10.3982\/qe1298","type":"journal-article","created":{"date-parts":[[2021,10,29]],"date-time":"2021-10-29T09:08:16Z","timestamp":1635498496000},"page":"1139-1170","source":"Crossref","is-referenced-by-count":29,"title":["Regime\u2010dependent effects of uncertainty shocks: A structural interpretation"],"prefix":"10.3982","volume":"12","author":[{"given":"St\u00e9phane","family":"Lhuissier","sequence":"first","affiliation":[{"name":"Banque de France"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Fabien","family":"Tripier","sequence":"additional","affiliation":[{"name":"Universit\u00e9 Paris-Saclay, Univ Evry, EPEE"},{"name":"CEPII"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2021]]},"reference":[{"key":"quan200172-bib-0001","doi-asserted-by":"crossref","first-page":"787","DOI":"10.1016\/j.jfineco.2006.05.011","volume":"85","author":"Acharya","year":"2007","journal-title":"Journal of financial economics"},{"key":"quan200172-bib-0002","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1016\/j.jmoneco.2018.05.001","volume":"101","author":"Alessandri","year":"2019","journal-title":"Journal of Monetary Economics"},{"key":"quan200172-bib-0003","doi-asserted-by":"crossref","first-page":"2203","DOI":"10.1086\/497044","volume":"78","author":"Altman","year":"2005","journal-title":"The Journal of Business"},{"key":"quan200172-bib-0004","doi-asserted-by":"crossref","first-page":"2049","DOI":"10.1086\/701792","volume":"127","author":"Arellano","year":"2019","journal-title":"Journal of Political Economy"},{"key":"quan200172-bib-0005","doi-asserted-by":"crossref","first-page":"937","DOI":"10.3982\/ECTA13960","volume":"85","author":"Basu","year":"2017","journal-title":"Econometrica"},{"key":"quan200172-bib-0006","doi-asserted-by":"crossref","first-page":"771","DOI":"10.1016\/j.jmoneco.2013.06.003","volume":"60","author":"Bekaert","year":"2013","journal-title":"Journal of Monetary Economics"},{"key":"quan200172-bib-0007","doi-asserted-by":"crossref","first-page":"85","DOI":"10.2307\/1885568","volume":"98","author":"Bernanke","year":"1983","journal-title":"The quarterly journal of economics"},{"key":"quan200172-bib-0008","doi-asserted-by":"crossref","first-page":"1341","DOI":"10.1016\/S1574-0048(99)10034-X","volume-title":"Handbook of Macroeconomics","volume":"1","author":"Bernanke","year":"1999"},{"key":"quan200172-bib-0009","doi-asserted-by":"crossref","first-page":"463","DOI":"10.1093\/restud\/rds032","volume":"80","author":"Bianchi","year":"2013","journal-title":"Review of Economic Studies"},{"key":"quan200172-bib-0010","doi-asserted-by":"crossref","first-page":"79","DOI":"10.1016\/j.jeconom.2015.08.004","volume":"190","author":"Bianchi","year":"2016","journal-title":"Journal of Econometrics"},{"key":"quan200172-bib-0011","doi-asserted-by":"crossref","first-page":"113","DOI":"10.1016\/j.red.2017.02.011","volume":"26","author":"Bianchi","year":"2017","journal-title":"Review of Economic Dynamics"},{"key":"quan200172-bib-0012","doi-asserted-by":"crossref","first-page":"810","DOI":"10.1093\/restud\/rdx035","volume":"85","author":"Bianchi","year":"2018","journal-title":"Review of Economic Studies"},{"key":"quan200172-bib-0013","doi-asserted-by":"crossref","unstructured":"Bianchi, F., H. 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