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Session 9: The Macroeconomics of Uncertainty and Volatility

September 7-9, 2016

Organized by:

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

Pre-registration is mandatory for all non-presenter attendees. 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 only recently have macroeconomists 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.

See printable program here.

In this Session

Sep 7 | 12:00 pm to 1:00 pm

Check-in and Lunch

Sep 7 | 1:00 pm to 1:40 pm

Financial Volatility and Household Consumption

Presented by: Rodney Ramcharan (USC Price School of Public Policy)
Co-Author(s): Marco DiMaggio (Columbia Business School), Amir Kermani (UC Berkeley Haas), Edison Yu (Federal Reserve Bank of Philadelphia)
Sep 7 | 1:40 pm to 2:20 pm

The Tail that Wags the Economy: Belief-Driven Business Cycles and Persistent Stagnation

Presented by: Venky Venkateswaran (NYU Stern)
Co-Author(s): Laura Veldkamp (NYU Stern), Julian Kozlowski (New York University)
Sep 7 | 2:20 pm to 3:00 pm

Uncertainty Aversion and Heterogeneous Beliefs in Linear Models

Presented by: Cosmin L. Ilut (Duke University)
Co-Author(s): Pavel Krivenko and Martin Schneider (Stanford University)
Sep 7 | 3:00 pm to 3:30 pm

Break

Sep 7 | 3:30 pm to 4:10 pm

Contractionary Volatility or Volatile Contractions?

Presented by: David Berger and Ian Dew-Becker (Northwestern University), Stefano Giglio (University of Chicago)
Sep 7 | 4:10 pm to 4:50 pm

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

Presented by: Sydney Ludvigson (New York University)
Co-Author(s): Sai Ma (New York University), Serena Ng (Columbia University)
Sep 7 | 4:50 pm to 5:30 pm

Inequality and Aggregate Demand

Presented by: Adrien Auclert (Stanford University)
Co-Author(s): Matthew Rognlie (MIT)
Sep 8 | 8:30 am to 9:00 am

Check-in and coffee

Sep 8 | 9:00 am to 9:30 am

A New Index of Uncertainty Based on Internet Searches: A Friend or Foe of Other Indicators?

Presented by: Maria Elena Bontempi or Roberto Golinelli (University of Bologna)
Co-Author(s): Matteo Squadrani (University of Bologna)
Sep 8 | 9:30 am to 10:00 am

Measuring Geopolitical Risk

Presented by: Matteo Iacoviello or Dario Caldara (Federal Reserve Board)
Sep 8 | 10:00 am to 10:30 am

Identifying Ambiguity Shocks in Business Cycle Models using Survey Data

Presented by: Anmol Bhandari (University of Minnesota)
Co-Author(s): Jaroslav Borovicka (New York University), Paul Ho (Princeton University)
Sep 8 | 10:30 am to 11:00 am

Break

Sep 8 | 11:00 am to 11:30 am

Policy Uncertainty and FDI: Evidence from the China-Japan Island Dispute

Presented by: Cheng Chen (University of Hong Kong)
Co-Author(s): Tatsuro Senga (Queen Mary University of London), Chang Sun (Princeton University), Hongyong Zhang (RIETI)
Sep 8 | 11:30 am to 12:00 pm

Policy Uncertainty and Investment: Evidence from the English East India Company

Presented by: Dan Bogart (UC Irvine)
Sep 8 | 12:00 pm to 1:15 pm

Lunch

Sep 8 | 1:15 pm to 1:45 pm

The Real and Financial Impact of Uncertainty Shocks

Presented by: Iván Alfaro (The Ohio State University), Nicholas Bloom (Stanford University), Xiaoji Lin (The Ohio State University)
Sep 8 | 1:45 pm to 2:15 pm

Uncertainty and International Capital Flows

Presented by: Francois Gourio (Federal Reserve Bank of Chicago), Michael Siemer (Federal Reserve Board), Adrien Verdelhan (MIT Sloan)
Sep 8 | 2:15 pm to 2:45 pm

Economic Policy Uncertainty and the Credit Channel: Aggregate and Bank Level U.S. Evidence over Several Decades

Presented by: John V. Duca (Federal Reserve Bank of Dallas)
Co-Author(s): Michael D. Bordo (Rutgers University), Christoffer Koch (Federal Reserve Bank of Dallas)
Sep 8 | 2:45 pm to 3:15 pm

Break

Sep 8 | 3:15 pm to 3:45 pm

Interest Rate Uncertainty, Hedging, and Real Activity

Presented by: Andrea Vedolin (London School of Economics)
Co-Author(s): Lorenzo Bretscher (London School of Economics), Lukas Schmid (Duke University)
Sep 8 | 3:45 pm to 4:00 pm

Break

Sep 8 | 4:00 pm to 5:00 pm

Keynote Address: Understanding the Decline in the Safe Real Interest Rate

Presented by: Bob Hall (Stanford University)
Sep 8 | 6:00 pm

Participants' Dinner

Sep 9 | 8:00 am to 8:30 am

Check-in and coffee

Sep 9 | 8:30 am to 9:10 am

Testing For Policy Affected Uncertainty in Arma-Garch Model

Presented by: Svetlana Makarova (University College London)
Co-Author(s): Wojciech Charemza (University of Leicester), Christian Francq and Jean-Michel Zakoïan (CREST Paris)
Sep 9 | 9:10 am to 9:50 am

Measuring Global and Country-Specific Uncertainty

Presented by: Simon Sheng (American University)
Co-Author(s): Ezgi O. Ozturk (International Monetary Fund)
Sep 9 | 9:50 am to 10:30 am

The Welfare and Distributional Effects of Fiscal Uncertainty: a Quantitative Evaluation

Presented by: Rudi Bachmann (University of Notre Dame)
Co-Author(s): Jinhui Bai (Washington State University), Minjoon Lee and Fudong Zhang (University of Michigan)
Sep 9 | 10:30 am to 11:00 am

Break

Sep 9 | 11:00 am to 11:40 am

Fluctuations in Uncertainty, Efficient Borrowing Constraints and Firm Dynamics

Presented by: Sebastian Dyrda (University of Toronto)
Sep 9 | 11:40 am to 12:20 pm

Aggregate Volatility and Current Account Dynamics: Credit Supply Matters

Presented by: Pedro Gete (Georgetown University)
Co-Author(s): Givi Melkadze (Georgetown University)