G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11415
DP11415 Understanding the Sources of Macroeconomic Uncertainty
Barbara Rossi; Tatevik Sekhposyan
发表日期2016-07-25
出版年2016
语种英语
摘要We propose a decomposition to distinguish between Knightian uncertainty (ambiguity) and risk, where the first measures the uncertainty about the probability distribution generating the data, while the second measures uncertainty about the odds of the outcomes when the probability distribution is known. We use the Survey of Professional Forecasters (SPF) density forecasts to quantify overall uncertainty as well as the evolution of the different components of uncertainty over time and investigate their importance for macroeconomic fluctuations. We also study the behavior and evolution of the various components of our decomposition in a model that features ambiguity and risk.
主题Monetary Economics and Fluctuations
关键词Uncertainty Risk Ambiguity Knightian uncertainty Survey of professional forecasters Predictive densities
URLhttps://cepr.org/publications/dp11415
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/540229
推荐引用方式
GB/T 7714
Barbara Rossi,Tatevik Sekhposyan. DP11415 Understanding the Sources of Macroeconomic Uncertainty. 2016.
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