演講題目：測量全球和國家特定的不確定性
演 講 人：Prof. Xuguang Simon Sheng (American University)
時 間：2017年4月14日（周五） 14:00-15:30
地 點：凯捷体育寶山校區東區經濟學院520會議室
主 辦：凯捷体育經濟學院
中國社會科學院-上海市人民政府 凯捷体育娱乐
凯捷体育經濟學院青聯會
凯捷体育金融信息研究中心
講座簡介：
Motivated by the literature on the capital asset pricing model, we decompose the uncertainty of a typical forecaster into common and idiosyncratic uncertainty. Using individual survey data from the Consensus Forecasts over the period of 1989-2014, we develop monthly measures of macroeconomic uncertainty covering 45 countries and construct a measure of global uncertainty as the weighted average of country-specific uncertainties. Our measure captures perceived uncertainty of market participants and derives from two components that are shown to exhibit strikingly different behavior. Common uncertainty shocks produce the large and persistent negative response in real economic activity, whereas the contributions of idiosyncratic uncertainty shocks are negligible.
報告人簡介📮：
Xuguang Simon Sheng is an Associate Professor of Economics at American University. His research interests include time series econometrics, economic and financial forecasting. He has published in Journal of Econometrics, Journal of Applied Econometrics, Journal of International Monetary and Finance, Journal of Accounting and Economics, and Oxford Handbook on Economic Forecasting. He has also been awarded a Heinz König Young Scholar Award from Centre for European Economic Research (ZEW). He has served as a reviewer for highly ranked journals in his field, as a reviewer for National Science Foundation and as a co-organizer of three international conferences.
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