格致经济论坛第80期

发布者:经济学系     时间:2021-04-06     阅读次数:204

报告题目:How Well Does Uncertainty Forecast Economic Activity?(不确定性预测经济活动靠谱吗?)

报告人:徐佳文(上海财经大学)

报告时间:2021年4月13日(星期二)上午10:30-11:45

报告地点:商学院大楼218会议室

邀请部门:经济学系


报告人简介:上海财经大学高等研究院助理教授,本科毕业于上海财经大学,2013年于波士顿大学获得经济学博士学位。研究兴趣为计量经济学、时间序列分析、宏观经济学。论文发表于International Journal of Forecasting、Applied Economics、Economic Modelling等期刊。


报告摘要:

Despite the enormous reach and influence of the literature on economic and economic policy uncertainty, the forecasting performance of economic uncertainty measures has been surprisingly under-researched. We evaluate the ability of several popular measures of uncertainty to forecast in-sample and out-of-sample over real and financial outcome variables, as well as over different quantiles of the GDP growth distribution. Real-time data and estimation considerations are highly consequential, owing to look-ahead bias. We construct new real-time versions of both macroeconomic (Jurado et al. (2015)) and financial uncertainty (Luvigson et al (forthcoming)), and analyze them together with their ex-post counterparts. We find some explanatory power in all uncertainty measures, with relatively good performance by ex-post macroeconomic uncertainty (MU), which has additional in-sample predictive content over the widely-used excess bond premium of Gilchrist and Zakrajsek (2012) and the National Financial Conditions Index (NFCI). However, real-time MU performs poorly compared to its ex-post counterpart, a finding that we relate to sub-sample instability in the performance of ex-post MU.


×请先登录

账  号

密  码