| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11415 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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