Skip to content Skip to navigation

Session 2: Macroeconomics of Uncertainty and Volatility

June 22-24, 2015

Organized by:

  • Nick Bloom, Stanford University
  • Steve Davis, University of Chicago
  • Jesus Fernandez-Villaverde, University of Pennsylvania

The session will cover recent work on the causes and effects of changes in volatility and uncertainty in the aggregate economy. Many observers, including policymakers such as Bernanke, Summers, and Romer, have highlighted that these have been major driving factors in the recent credit-crunch recession and advanced heuristic arguments of why this might have been the case. Unfortunately, our theoretical and empirical understanding of these topics is limited since macroeconomists have only recently started working on these issues from a more systematic basis. Nevertheless, the preliminary results in the literature suggest changes in volatility and uncertainty similar to the ones observed for the U.S. economy are likely significant factors in business cycle fluctuations. Moreover, the presence of changes in volatility and uncertainty has important implications for the design of optimal monetary and fiscal policies.

Please find the complete session schedule with all presentation times at this link

In this Session

Skewed Business Cycles

Presented by: Sergio Salgado
Co-Author(s): Nicholas Bloom, Fatih Guvenen

Large Firm Dynamics and the Business Cycle

Presented by: Basile Grassi
Co-Author(s): Vasco M. Carvalho

Uncertainty, Capital Flows, and Maturity Mismatch

Presented by: Nathan Converse

Demand Shocks and Endogenous Uncertainty

Presented by: Diego Vilan

Short and Long Run Uncertainty

Presented by: Jose Barrero

Menu Costs, Uncertainty Cycles, and the Propagation of Nominal Shocks

Presented by: Julio Andres Blanco
Co-Author(s): Isaac Baley

Creative Destruction and Uncertainty Over the Business Cycle

Presented by: Petr Sedlacek

New Look at Uncertainty Shocks: Imperfect Information and Misallocation

Presented by: Tatsuro Senga

Endogenous Volatility at the Zero Lower Bound: Implications for Stabilization Policy

Presented by: Brent Bundick
Co-Author(s): Susanto Basu

Uncertainty and Monetary Policy in Good and Bad Times

Presented by: Efrem Castelnuovo
Co-Author(s): Giovanni Caggiano, Gabriela Nodari

The Price of Variance Risk

Presented by: Stefano Giglio
Co-Author(s): Ian Dew-Becker, Anh Le, Marius Rodriguez

Economic Policy Uncertainty and Inflation Expectations

Presented by: Klodiana Istrefi
Co-Author(s): Anamaria Piloiu

Learning, Confidence, and Business Cycles

Presented by: Hikaru Saijo
Co-Author(s): Cosmin Ilut

Precautionary Savings, Illiquid Assets, and the Aggregate Consequences of Shocks to Household Income Risk

Presented by: Christian Bayer
Co-Author(s): Ralph Luetticke, Lien-Pham-Dao, Volker Tjaden

Real-time Macroeconomic Data and Uncertainty

Presented by: Katharina Glass
Co-Author(s): Ulrich Fritsche

Do Plants Freeze Upon Uncertainty Shocks?

Presented by: Matthias Meier
Co-Author(s): Ariel Mecikovsky