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Measuring macroeconomic uncertainty from surveys–a mixed frequency approach

主讲人: Ben Zhe Wang
主讲人简介: 经济学博士,现任澳大利亚麦考瑞大学经济系教授,德国洪堡大学和中国社会科学院的访问学者,研究方向包括宏观经济不确定性的衡量及其影响、货币政策等。
主持人: 龚敏
简介: We propose a new method of measuring economic uncertainty, using dispersions of forecasts from both household and professional surveys of various frequencies. With a mixed-frequency state-space model, we construct an uncertainty measure of the perceived current state of the US economy and an uncertainty measure of the one-year ahead expected state of the economy. Although distinctively constructed, we show our measures of uncertainty are highly correlated with most other existing measures. Impulse responses show uncertainty shocks lead to a contraction in economic activity, and monetary policy expansion reduces uncertainty, implying endogenous uncertainty is an additional channel for countercyclical monetary policy.
时间: 2017-07-04(Tuesday)15:00-17:00
地点: 经济楼A201室
期数: 2017年第8讲(总第210讲)
类型: 系列讲座