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Time-Varying Expectation Effects of Switching Financial Uncertainty

发布日期:2021-12-14设置

【主题】Time-Varying Expectation Effects of Switching Financial Uncertainty

【报告人】邱实(复旦大学助理教授)

【时间】1215日(星期2:00-3:30 p.m.

【地点】上海财经大学高等研究院楼232

【语言】英文

【摘要】This paper investigates the effects of dynamic capital market conditions in a general equilibrium model, employing a process of switching steady-state levels of the volatility of market condition (SS-uncertainty). Decision-makers predict SS-uncertainty regimes using past fundamental shocks, but an exogenous uncertainty shock still exists. Model estimation uncovers evidence of state-dependent uncertainty effects. Shock responses significantly vary, depending on the current uncertainty regime and shock magnitude. In the high (low) SS-uncertainty regime, economic activities decrease (increase) regardless of shock direction. This anomaly disappears for sufficiently large uncertainty shocks. Quantitatively, a pessimistic shock produces inertia, whereas an optimistic shock boosts economic activities