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Session 8: Macroeconomics of Uncertainty and Volatility

August 28-30, 2017
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, which remain topical given the recent Brexit and Trump election outcomes. 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, changes in volatility and uncertainty similar to the ones observed for the U.S. economy can be shown to be quantitatively significant factors in business cycle fluctuations and a key element in a successful explanation of aggregate fluctuations. Moreover, the presence of changes in volatility and uncertainty has important implications for the design of optimal policies and for our assessment of the responses of central banks and fiscal authorities to recent developments in the world economy. Therefore, the session will aim to include about 14 recent papers on these topics. Our goal is to have a balanced mix of theoretical and empirical papers and a strong interest in applications to policy.


In this Session

Aug 28 | 1:00 pm to 1:40 pm

Uncertainty and the Shadow Banking Crisis: Estimates from a Dynamic Model

Presented by: Xu Tian, University of Toronto
Aug 28 | 1:40 pm to 2:20 pm

Bank lending in uncertain times

Presented by: Piergiorgio Alessandri, Bank of Italy
Co-Author(s): Margherita Bottero, Bank of Italy
Aug 28 | 2:20 pm to 3:00 pm

Shocks vs. Responsiveness: What Drives Countercyclical Dispersion?

Presented by: Joe Vavra, University of Chicago and NBER
Co-Author(s): David Berger, Northwestern University and NBER
Aug 28 | 3:30 pm to 4:10 pm

Forward Guidance, Policy Uncertainty, and the Term Premium

Presented by: Brent Bundick, Federal Reserve Bank of Kansas City
Co-Author(s): Trenton Herriford, Federal Reserve Bank of Kansas City A. Lee Smith, Federal Reserve Bank of Kansas City
Aug 28 | 4:10 pm to 5:00 pm

Policy Uncertainty, Political Capital, and Firm Risk-Taking

Presented by: Pat Akey, University of Toronto
Co-Author(s): Stefan Lewellen, London Business School
Aug 29 | 9:30 am to 10:00 am

Waiting on the Courts: Effects of Policy Uncertainty on Pollution and Investment

Presented by: Jackson Dorsey, University of Arizona
Aug 29 | 10:00 am to 10:30 am

Policy Uncertainty in Japan

Presented by: Steven J. Davis, University of Chicago
Co-Author(s): Elif C. Arbatli, International Monetary Fund, Arata Ito, Research Institute of Economy, Trade and Industry, Naoko Miake, International Monetary Fund, Ikuo Saito, International Monetary Fund
Aug 29 | 10:30 am to 11:00 am

Components of Uncertainty

Presented by: Vegard Høghaug Larsen Norges Bank (Central bank of Norway)
Aug 29 | 11:30 am to 12:00 pm

Firm-Level Political Risk: Measurement and Effects

Presented by: Tarek A. Hassan, University of Chicago
Co-Author(s): Stephan Hollander, Tilburg University, Laurence van Lent, Tilburg University, Ahmed Tahoun, London Business School
Aug 29 | 12:00 pm to 12:30 pm

Uncertainty-Induced Reallocations and Growth

Presented by: Max Croce, University of North Carolina at Chapel Hill
Co-Author(s): Ravi Bansal, Duke University, Wenxi Liao, Duke University, Sam Rosen, University of North Carolina at Chapel Hill
Aug 29 | 1:30 pm to 2:00 pm

Uncertainty and Hyperinflation: European Inflation Dynamics after World War I

Presented by: Kris James Mitchener, Santa Clara University & NBER
Co-Author(s): Jose A. Lopez, Federal Reserve Bank of San Francisco
Aug 29 | 2:00 pm to 2:30 pm

Redistribution and Fiscal Uncertainty Shocks

Presented by: Hikaru Saijo, University of California, Santa Cruz
Aug 29 | 3:00 pm to 3:30 pm

Global Spillover Effects of US Uncertainty

Presented by: Saroj Bhattarai, University of Texas at Austin
Co-Author(s): Arpita Chatterjee, University of New South Wales, Woong Yong Park, Seoul National University and CAMA
Aug 29 | 3:30 pm to 4:00 pm

The Impact of Uncertainty Shocks in the U.K.

Presented by: Chris Redl, Bank of England
Aug 29 | 4:00 pm to 4:30 pm

Risk Aversion and the Response of the Macroeconomy to Uncertainty Shocks

Presented by: Andrea Tamoni, LSE
Co-Author(s): Lorenzo Bretscher, LSE Alex Hsu, Georgia Institute of Technology
Aug 30 | 8:30 am to 9:10 am

Embrace or Fear Uncertainty: Growth Options, Limited Risk Sharing, and Asset Prices

Presented by: Winston Dou, The Wharton School
Aug 30 | 9:10 am to 9:50 am

Pricing Macroeconomic Uncertainty

Presented by: Francesco Bianchi, Duke University
Co-Author(s): Howard Kungy, London Business School, Mikhail Tirskikh, London Business School
Aug 30 | 9:50 am to 10:30 am

Volatility Risk Pass-Through

Presented by: Mariano Croce, University of North Carolina–Chapel Hill
Co-Author(s): Riccardo Colacito, University of North Carolina–Chapel Hill, Yang Liu, University of Pennsylvania, Ivan Shaliastovich, The Wharton School
Aug 30 | 10:50 am to 11:20 am

Trade Collapses: The role of Economic and Trade Policy Uncertainty in the Great Recession

Presented by: Kyle Handley, University of Michigan
Co-Author(s): Nuno Limão, University of Maryland Jeronimo Carballo, University of Colorado
Aug 30 | 11:20 am to 12:00 pm

Rare Events and the Persistence of Uncertainty

Presented by: Savitar Sundaresan, Business School, Imperial College London