Essays on economic uncertainty
These essays propose different measures of economic uncertainty and evaluate its impact at the microeconomic and macroeconomic level. The first essay in Chapter 2 proposes a measure of macroeconomic uncertainty that allows to distinguish its vari-ous components. Metrics of Knightian uncertainty and ri...
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| Tipo de recurso: | tesis doctoral |
| Estado: | Versión publicada |
| Fecha de publicación: | 2018 |
| País: | España |
| Institución: | CBUC, CESCA |
| Repositorio: | TDR. Tesis Doctorales en Red |
| OAI Identifier: | oai:www.tdx.cat:10803/664416 |
| Acceso en línea: | http://hdl.handle.net/10803/664416 |
| Access Level: | acceso abierto |
| Palabra clave: | Economic uncertainty 33 |
| Sumario: | These essays propose different measures of economic uncertainty and evaluate its impact at the microeconomic and macroeconomic level. The first essay in Chapter 2 proposes a measure of macroeconomic uncertainty that allows to distinguish its vari-ous components. Metrics of Knightian uncertainty and risk are proposed, and their respective impact on a number of economic aggregates is evaluated. Chapter 3 extends the classical approach to measuring uncertainty – a mean squared error-based quantity –to entropy methods in econometrics. Several information-theoretic measures of uncertainty are motivated, derived, and estimated on two data sets: the Survey of Professional Forecasters used in Chapter 2, to show that the conclusions hold with this different approach; and the Survey of Economic Expectations, to show how information theoretic measures of uncertainty can help study different situations not afforded by the mean-squared error approach. Chapter 4 studies uncertainty from the point of view of forecasting and propose a measure of forecasting uncertainty to study how business cycles can affect this particular dimension of Knightian uncertainty. Chapter 5 considers the question of the efficacy of fiscal policy in periods of uncertainty, and does so in a way that accounts for the comovements of economic uncertainty with recessions through an conditional adjustment to the classical smooth-transition state dependent models. Chapter 6 concludes. |
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