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Session 6: Macroeconomics of Uncertainty and Volatility

August 22 - 24, 2018

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 is incredibly 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 macroeconomist started working on these issues from a more systematic basis. Nevertheless, the preliminary results in the literature, to which all three of us have contributed, are rather encouraging. 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 22 |
12:00 pm to 1:00 pm

Check-In, Lunchtime Discussion

Aug 22 |
1:00 pm to 1:40 pm

What Triggers Stock Market Jumps?

Presented by: Marco Sammon, Northwestern University
Co-Author(s): Scott Baker, Northwestern University; Nick Bloom, Stanford University; Steve Davis, Chicago University
Aug 22 |
1:40 pm to 2:20 pm

Equity Premiums in the Presidential Cycle: The Midterm Election Resolution of Uncertainty

Presented by: Terry Marsh, University of California, Berkeley
Co-Author(s): Kam Fong Chan, University of Queensland
Aug 22 |
2:20 pm to 3:00 pm

Expectation Formation Following Large Unexpected Shocks

Presented by: Xuguang Simon Sheng, American University
Co-Author(s): Tucker McElroy, U.S. Census Bureau; Scott Baker, Northwestern University
Aug 22 |
3:30 pm to 4:10 pm

Monetary Policy Uncertainty

Presented by: John Rogers, Federal Reserve Board
Co-Author(s): Lucas Husted, Columbia University; Bo Sun, Federal Reserve Board
Aug 22 |
4:10 pm to 4:50 pm

Economic Policy, Uncertainty, Political Uncertainty and the Greek Economic Crisis

Presented by: Gikas Hardouvelis, University of Piraeus
Co-Author(s): Georgios Karalas, London School of Economics; Dimitrios Karanastasis, University of Piraeus; Panagiotis Samartzis, University of Piraeus
Aug 22 |
4:50 pm to 5:30 pm

Economic Policy, Uncertainty and Stock Market Participation

Presented by: Dimitris Georgarakos, European Central Bank and University of Leicester
Co-Author(s): Eniko Gábor-Tóth, Deutsche Bundesbank and CEU
Aug 22 | 5:30 pm

Dinner

Aug 23 |
8:00 am to 8:30 am

Check-In, Coffee and Pastries

Aug 23 |
8:30 am to 9:10 am

Measuring the Effects of Firm Uncertainty on Economic Activity: New Evidence from One Million Documents

Presented by: Frank Li, University of Michigan
Co-Author(s): Kyle Handley, University of Michigian.
Aug 23 |
9:10 am to 9:50 am

Expectation Formation and Firm Activities: New Evidence from a Business Outlook Survey in Japan

Presented by: Tatsuro Senga, Queen Mary University of London
Co-Author(s): Cheng Chen, University of Hong Kong; Chang Sun, University of Hong Kong; Hongyong Zhang, RIETI
Aug 23 |
10:10 am to 10:50 am

Uncertainty and Change: Survey Evidence of Firms' Subjective Beliefs

Presented by: Rüdiger Bachmann, University of Notre Dame
Co-Author(s): Kai Carstensen, University of Kiel, CEPR; Stefan Lautenbacher, LMU Munich; Martin Schneider, Stanford University
Aug 23 |
10:50 am to 11:30 am

Slow Recovery with Uncertainty Shocks and Optimal Firm Liquidation

Presented by: Indrajit Mitra, University of Michigan
Aug 23 |
11:30 am to 12:10 pm

How Do Investors Perceive the Risks from Macroeconomic and Financial Uncertainty? Evidence from 19 Option Markets

Presented by: Ian Dew-Becker, Northwestern University
Co-Author(s): Bryan Kelly, Yale University; Stefano Giglio, Yale University
Aug 23 |
12:10 pm to 1:10 pm

Lunchtime Discussion

Aug 23 |
1:10 pm to 1:50 pm

A Neoclassical Theory of Liquidity Traps

Presented by: Sebastian Di Tella, Stanford University
Aug 23 |
1:50 pm to 2:30 pm

What are Uncertainty Shocks?

Presented by: Nicholas Kozeniauskas, New York University
Co-Author(s): Anna Orlik, Federal Reserve Board; Laura Veldkamp, New York University
Aug 23 |
3:00 pm to 3:40 pm

Long-Run Economic Uncertainty

Presented by: Andrea Tamoni, London School of Economics
Co-Author(s): Federico Bandi, Johns Hopkins University
Aug 23 |
3:40 pm to 4:20 pm

The Dire Effects of the Lack of Monetary and Fiscal Coordination

Presented by: Francesco Bianchi, Duke University
Co-Author(s): Leonardo Melosi, Federal Reserve Chicago
Aug 23 |
4:20 pm to 5:00 pm

News and Consumer Card Payments

Presented by: Juri Marcucci, Bank of Italy
Co-Author(s): Libero Monteforte, Bank of Italy; Simone Emiliozzi, Bank of Italy; Guerino Ardizzi, Bank of Italy
Aug 23 | 5:00 pm

Dinner

Aug 24 |
7:50 am to 8:20 am

Check-In, Coffee and Pastries

Aug 24 |
8:20 am to 9:00 am

Uncertainty, Investment and Productivity with Relational Contract

Presented by: James Malcomson, All Souls College, Oxford
Aug 24 |
9:00 am to 9:40 am

Uncertainty Shocks, Financial Frictions and Business Cycle Asymmetries Across Countries

Presented by: Pratiti Chatterjee, UC Irvine
Aug 24 |
10:00 am to 10:40 am

The Evolving Impact of Global, Region-Specific and Country-Specific Uncertainty

Presented by: Alberto Musso, European Central Bank
Co-Author(s): Haroon Mumtaz, Queen Mary College
Aug 24 |
10:40 am to 11:20 am

Uncertainty Matters: Evidence from Close Elections

Presented by: Chris Redl, Bank of England
Aug 24 |
11:20 am to 12:00 pm

Short-Term Shocks and Long-Term Investment

Presented by: Stephen Terry, Boston University
Co-Author(s): Itay Saporta-Eksten, Tel Aviv University
Aug 24 |
12:00 pm to 1:00 pm

Lunchtime Discussion