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Estimating macroeconomic uncertainty and discord using info-metrics

来源:湖南大学经济与管理研究中心 日期:2019-06-05 作者:

 间:June 6th (Thursday), 16:15-17:30PM


 点:Room 206, Shuishang Teaching Building


 题:Estimating macroeconomic uncertainty and discord using info-metrics


主讲人:Wuwei Wang

Assistant professor at the Western Economic Research Center at Southwestern University of Finance and Economics China


 要:We apply generalized beta and triangular distributions to histograms from the Survey of Professional Forecasters (SPF) to estimate forecast uncertainty, shocks and discord using information framework, and compare these with moment-based estimates. We find these two approaches to produce analogous results, except in cases where the underlying densities deviate significantly from normality. Even though the Shannon entropy is more inclusive of different facets of a forecast density, we find that with SPF forecasts it is largely driven by the variance of the densities. We use Jenson-Shannon Information to measure ex ante “news” or “uncertainty shocks” in real time, and find that this ‘news’ is closely related to revisions in forecast means, countercyclical, and raises uncertainty. Using standard vector auto-regression analysis, we confirm that uncertainty affects the economy negatively.


报告人简介:

Dr. Wuwei Wang, an assistant professor at the Western Economic Research Center at Southwestern