By Nicholas Bloom, Max Floetotto, Nir Jaimovich, Itay Saporta-Eksten and Stephen J. Terry
http://d.repec.org/n?u=RePEc:nbr:nberwo:18245&r=dge
We propose uncertainty shocks as a new shock that drives business cycles. First, we demonstrate that microeconomic uncertainty is robustly countercyclical, rising sharply during recessions, particularly during the Great Recession of 2007-2009. Second, we quantify the impact of time-varying uncertainty on the economy in a dynamic stochastic general equilibrium model with heterogeneous firms. We find that reasonably calibrated uncertainty shocks can explain drops and rebounds in GDP of around 3%. Moreover, we show that increased uncertainty alters the relative impact of government policies, making them initially less effective and then subsequently more effective.
I am not sure I would qualify uncertainty shocks as new shocks. I have mentioned before the paper by Basu and Bundick that also features time varying variance for TFP shocks (plus similar shocks to intertemporal substitution). This paper is still a significant…
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Utopia, you are standing in it! 
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