A5100757259- Market Dynamics and Volatility
- Monetary Policy and Economic Impact
- Financial Markets and Investment Strategies
- Housing Market and Economics
- Global Financial Crisis and Policies
- Economic Growth and Productivity
- Financial Literacy, Pension, Retirement Analysis
- Economic, financial, and policy analysis
- Economic theories and models
- Economic Policies and Impacts
- COVID-19 epidemiological studies
- Agricultural risk and resilience
- COVID-19 Pandemic Impacts
- Sustainable Finance and Green Bonds
- Private Equity and Venture Capital
- Insurance and Financial Risk Management
- Energy, Environment, Economic Growth
- Capital Investment and Risk Analysis
- Complex Systems and Time Series Analysis
- Global Energy Security and Policy
- Economic Theory and Policy
- International Environmental Law and Policies
- Corruption and Economic Development
- Climate Change Policy and Economics
- Flow Measurement and Analysis
Federal Reserve Board of Governors
2014-2024
Federal Reserve
2014-2023
Xi’an University of Posts and Telecommunications
2023
National Bureau of Economic Research
2017-2020
New York University
2015-2020
Federal Reserve Bank of Richmond
2020
Duke University
2020
Berkeley College
2020
University of California, Berkeley
2020
Chinese University of Hong Kong
2020
Uncertainty about the future rises in recessions. But is uncertainty a source of business cycles or an endogenous response to them, and does type matter? We propose novel SVAR identification strategy address these questions via inequality constraints on structural shocks. find that sharply higher macroeconomic recessions often output shocks, while financial markets likely fluctuations. (JEL D81, E23, E32, E44, G14)
This paper combines a data-rich environment with machine learning algorithm to provide new estimates of time-varying systematic expectational errors (“belief distortions”) embedded in survey responses. We find sizable distortions even for professional forecasters, all respondent-types overweighting the implicit judgmental component their forecasts relative what can be learned from publicly available information. Forecasts inflation and GDP growth oscillate between optimism pessimism by large...
This paper provides a comprehensive survey of existing measures uncertainty, risk, and volatility, noting their conceptual distinctions. It summarizes how they are constructed, relative advantages in usage, effects on financial market economic outcomes. The divided into four categories based the construction methodology: news-based, survey-based, econometric-based, market-based measures. While heightened uncertainty is typically associated with negative real outcomes, magnitude these...
ABSTRACT A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range equity characteristic portfolios and nonequity asset classes, with risk price estimates that are same sign similar magnitude. Positive exposure to earns positive premium, commensurate recent pricing models which redistributive shocks shift between wealthy, who finance consumption primarily out ownership, workers, wages salaries.
Abstract Using a sample of 39 countries representing 88% global GDP, we find that real economic uncertainty (REU) has negative long‐lasting domestic effects and transmits across countries. The international spillover REU are both statistically significant economically meaningful, trade ties play key role in explaining its transmission Innovations to the foreign component can contribute up 16% future variation industrial production. This effect is disproportionately larger on manufacturing...
Using monthly data on costly natural disasters affecting the United States over last 40 years, we estimate 2 time series models and use them to generate predictions about impact of COVID-19. We find that while our yield reasonable estimates industrial production number scheduled flight departures, they underestimate unprecedented changes in labor market.
Researchers, policymakers, and market participants have become increasingly focused on the effects of uncertainty risk financial economic outcomes. This paper provides a comprehensive survey many existing measures risk, uncertainty, volatility. It summarizes what these capture, how they are constructed, their effects, paying particular attention to large spikes, such as those appearing concurrently with outbreak COVID-19. The divided into three types: (1) news-based, survey- based,...
This paper provides a comprehensive survey of existing measures uncertainty, risk, and volatility, noting their conceptual distinctions. It summarizes how they are constructed, relative advantages in usage, effects on financial market economic outcomes. The divided into four categories based the construction methodology: news-based, survey-based, econometric-based, market-based measures. While heightened uncertainty is typically associated with negative real outcomes, magnitude these...
Policymakers, including Federal Open Market Committee (FOMC) participants, have been stressing the elevated level of uncertainty, especially related to inflation, and challenge this poses for monetary policy. As seen in Figure 1, with few exceptions, FOMC participants see uncertainty around their forecasts core PCE inflation as high, compared average over past 20 years.
<ns3:p>Using a sample of 30 countries representing about 65% the global GDP, we find that real economic uncertainty (REU) has negative long-lasting domestic effects and transmits across countries. The international spillover REU are (i) additional to those REUs, (ii) statistically significant, (iii) economically meaningful. Trade ties play key role in explaining why generated one country can affect outcomes other Based on this evidence, construct novel index for as...
<ns3:p>The COVID-19 pandemic led to unprecedented disruptions in supply, demand, and productivity, which have had cataclysmic health, social, economic implications across the globe. In this note, we explore large increase global real uncertainty observed during as a channel that explains or magnifies of COVID-19</ns3:p>
<ns3:p>In this note, we construct a measure of real economic uncertainty (REU)--based on the predictability near-term performance--for major advanced economies.</ns3:p>
Curbing the global temperature increase to a maximum of 2°C is challenging task for combating climate change. 1 To reach this ambitious goal, energy sector, which contributes more tha...