G2TT
来源类型Discussion paper
规范类型论文
来源IDDP10147
DP10147 Understanding Uncertainty Shocks and the Role of Black Swans
Laura Veldkamp
发表日期2014-09-21
出版年2014
语种英语
摘要A fruitful emerging literature reveals that shocks to uncertainty can explain asset returns, business cycles and financial crises. The literature equates uncertainty shocks with changes in the variance of an innovation whose distribution is common knowledge. But how do such shocks arise? This paper argues that people do not know the true distribution of macroeconomic outcomes. Like Bayesian econometricians, they estimate a distribution. Using real-time GDP data, we measure uncertainty as the conditional standard deviation of GDP growth, which captures uncertainty about the distribution?s estimated parameters. When the forecasting model admits only normally-distributed outcomes, we find small, acyclical changes in uncertainty. But when agents can also estimate parameters that regulate skewness, uncertainty fluctuations become large and counter-cyclical. The reason is that small changes in estimated skewness whip around probabilities of unobserved tail events (black swans). The resulting forecasts resemble those of professional forecasters. Our uncertainty estimates reveal that revisions in parameter estimates, especially those that affect the risk of a black swan, explain most of the shocks to uncertainty.
主题Financial Economics ; International Macroeconomics
关键词Forecasting Rare events Uncertainty
URLhttps://cepr.org/publications/dp10147
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/538980
推荐引用方式
GB/T 7714
Laura Veldkamp. DP10147 Understanding Uncertainty Shocks and the Role of Black Swans. 2014.
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