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Session 8: The Macroeconomics of Uncertainty and Volatility

August 21-23, 2019 | Landau Economics Bldg, 579 Serra Mall, Rm 134, Stanford

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 ongoing Brexit turmoil and US 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, the preliminary results in the literature, to which all four 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 20 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.

Organizers: Nick Bloom (Stanford), Steve Davis (University of Chicago), Jesus Fernandez-Villaverde (University of Pennsylvania) and John Rogers (Federal Reserve Board)

In this Session

Aug 21 | 11:30 am to 1:00 pm


Aug 21 | 12:00 pm to 1:00 pm


Aug 21 | 1:00 pm to 1:40 pm

Economic Policy Uncertainty in China Since 1949: The View from Mainland Newspapers

Presented by: Steven Davis (University of Chicago)
Aug 21 | 1:40 pm to 2:20 pm

Ex ante uncertainty and the Euro Area Business Cycle

Presented by: Geoff Kenny (European Central Bank)
Aug 21 | 2:20 pm to 3:00 pm

The Economic Effects of Trade Policy Uncertainty

Presented by: Dario Caldara (Federal Reserve Board)
Aug 21 | 3:00 pm to 3:30 pm


Aug 21 | 3:30 pm to 4:10 pm

Global Risk Aversion and International Return Comovements

Presented by: Nancy R. Xu (Boston College)
Aug 21 | 4:10 pm to 4:50 pm

Price Setting and Volatility: Evidence from Oil Price Volatility Shocks

Presented by: Matt Klepacz (College of William and Mary)
Aug 21 | 4:50 pm to 5:30 pm

Skewed Business Cycles

Presented by: Sergio Salgado (The Wharton School, University of Pennsylvania)
Aug 21 | 5:30 pm

Drinks and dinner

Aug 22 | 9:00 am to 9:30 am


Aug 22 | 9:30 am to 10:00 am

How Well Does Economic Uncertainty Forecast Economic Activity?

Presented by: Jiawen Xu (Shanghai University of Finance and Economics)
Aug 22 | 10:00 am to 10:30 am

When It Rains It Pours: Cascading Uncertainty Shocks

Presented by: Alex Hsu (Georgia Institute of Technology)
Aug 22 | 10:30 am to 11:00 am


Aug 22 | 11:00 am to 11:30 am

Uncertainty and Expectation Formation over the Business Cycles: Evidence from Japan and the Globe

Presented by: Cheng Chen (Clemson)
Aug 22 | 11:30 am to 12:00 pm

The World Uncertainty Index

Presented by: Davide Furceri (International Monetary Fund)
Aug 22 | 12:00 pm to 12:30 pm

The Impact of Uncertainty Shocks: Evidence from Geopolitical Swings on the Korean Peninsula

Presented by: Seohyun Lee (IMF and Bank of Korea)
Aug 22 | 12:30 pm to 1:30 pm


Aug 22 | 1:30 pm to 2:00 pm

Market-Based Monetary Policy Uncertainty

Presented by: Michael Bauer (Federal Reserve Bank of San Francisco)
Aug 22 | 2:00 pm to 2:30 pm

Demand for Information, Uncertainty, and the Response of U.S. Treasury Securities to News

Presented by: Clara Vega (Federal Reserve Board)
Aug 22 | 2:30 pm to 3:00 pm

Search Complementarities and Aggregate Fluctuations

Presented by: Jesus Fernandez-Villaverde (Penn)
Aug 22 | 3:00 pm to 3:30 pm


Aug 22 | 3:30 pm to 4:00 pm

US Household Consumption and Uncertainty of Publicly Listed Firms

Presented by: Ivan Alfaro (BI Norwegian Business School, Oslo)
Aug 22 | 4:00 pm to 4:30 pm

The Effect of Health Care Policy Uncertainty on Households' Consumption and Portfolio Choice

Presented by: Thomas T. Wiemann (University of Chicago)
Aug 22 | 4:30 pm to 5:00 pm

Macroeconomic and Financial Risks: A Tale of Volatility

Presented by: Dario Caldara (Federal Reserve Board)
Aug 22 | 5:00 pm

Drinks and dinner

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


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

Real Credit Cycles

Presented by: Stephen Terry (Boston University)
Aug 23 | 9:10 am to 9:50 am

Borrowing to Save and Investment Dynamics

Presented by: Jasmine Xiao (University of Notre Dame)
Aug 23 | 9:50 am to 10:30 am

Risk-Adjusted Capital Allocation and Misallocation

Presented by: Joel David (University of Southern California)
Aug 23 | 10:30 am to 10:50 am


Aug 23 | 10:50 am to 11:20 am

Dymamic Effects of News Shocks Under Uncertainty

Presented by: Danilo Cascaldi-Garcia (Federal Reserve Board)
Aug 23 | 11:20 am to 12:00 pm

Impact of Brexit on UK Firms

Presented by: Scarlet Chen (Stanford University)
Aug 23 | 12:00 pm