Macroeconomic Transmission of (Un-)Predictable Uncertainty Shocks

Abstract：    

We document non-trivial predictability in the identified uncertainty shocks used in prominent studies of uncertainty’s macroeconomic transmission. The predictability stems not from the use of ex-post revised data rather than real-time data, but from failure to fully allow for uncertainty’s endogenousresponse to changes in economic conditions. We demonstrate two ways of purging uncertainty shocksof their predictable component and find that uncertainty’s transmission to output and employment issmaller than traditional estimates. We furthermore show that uncertainty’s relationship with aggregatereal activity is more the result of its role as an amplification mechanism for other macroeconomic and

financial shocks.

Speaker Biography： 

徐佳文于2013年在美国波士顿大学获得经济学博士学位，现任上海理工大学管理学院副教授。其研究方向为计量经济学，时间序列分析，实证宏观金融等，主要关注大数据宏观实时预测模型，系数不确定性，宏观经济不确定性等方面问题的研究。研究成果发表于International Journal of Forecasting, Economic Modelling, Finance Research letters and Operation Research Letters等期刊并主持国家自科项目。