1035期 11月19日:Uncertainty, Pessimism, and Economic Fluctuations(裴光宇,助教授, 香港中文大学)

时间:2019-11-11

【主题】Uncertainty, Pessimism, and Economic Fluctuations
【报告人】裴光宇(助教授, 香港中文大学)
【时间】11月19日(星期二) 14:00-15:30
【地点】经济学院楼702室
【语言】英文
【摘要】This paper develops a theory of uncertainty-driven business cycles, where uncertainty shocks act as non-inflationary aggregate demand shocks. We regard uncertainty as ambiguity and define the uncertainty (or ambiguity) shock as exogenous variation in the variance of the agents’ prior belief over possible models. Under a real business cycle framework featuring ambiguity averse agents and incomplete information, we demonstrate that ambiguity shocks can generate positive co-movements across real quantities together with counter-cyclical labor wedge and labor productivity. After an adverse ambiguity shock, agents behave as if they believe aggregate demand is weaker and more volatile. The perceived weaker aggregate demand creates depressed confidence that makes all real quantities plummet; and the perceived higher volatility increases the use of private information in forecasting, which drives up the cross-sectional dispersion of beliefs. These predictions of the theory are consistent with survey data evidence. Finally, the quantitative potential of our theory is illustrated within a dynamic RBC model.

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