上 海 大 学 经 济 学 院
海外学者报告第115期,总第260期
演讲题目：测量全球和国家特定的不确定性
演 讲 人：Prof. Xuguang Simon Sheng (American University)
时 间：2017年4月14日（周五） 14:00-15:30
地 点：校本部东区永利皇宫登录官网520会议室
主 办：永利皇宫登录官网
中国社会科学院-上海市人民政府 上海研究院
永利皇宫登录官网青联会
永利皇宫登录官网金融信息研究中心
讲座简介：
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.
报告人简介：
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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