Creator: Fogli, Alessandra and Perri, Fabrizio Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 512 Abstract:
Does macroeconomic volatility/uncertainty affect accumulation of net foreign assets? In OECD economies over the period 1970-2012, changes in country specific aggregate volatility are, after controlling for a wide array of factors, significantly positively associated with net foreign asset position. An increase in volatility (measured as the standard deviation of GDP growth) of 0.5% over period of 10 years is associated with an increase in the net foreign assets of around 8% of GDP. A standard open economy model with time varying aggregate uncertainty can quantitatively account for this relationship. The key mechanism is precautionary motive: more uncertainty induces residents to save more, and higher savings are in part channeled into foreign assets. We conclude that both data and theory suggest uncertainty/volatility is an important determinant of the medium/long run evolution of external imbalances in developed countries.
Stichwort: Global imbalances, Precautionary saving, Business cycles, Current account, and Uncertainty Fach: F34 - International Lending and Debt Problems, F41 - Open Economy Macroeconomics, and F32 - Current Account Adjustment; Short-term Capital Movements
Creator: Townsend, Robert M., 1948- Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 077 Abstract:
This thesis consists of a series of essays on the theory of exchange under uncertainty. The first essay examines the welfare implications of futures markets in the context of complete markets for contingent claims. It is shown that in a C-good, S-state world the equilibrium allocations resulting from the operation of pre-state noncontingent futures markets and post-state spot markets may be Pareto optimal. This proposition turns on the fact that a futures contract can be interpreted as a security whose state-specific return is the post-state spot price. If the matrix of spot prices has rank S, then, with futures and spot markets, agents can achieve the same allocations over states as with complete markets for contingent claims.
Stichwort: Uncertainty and Markets Fach: D80 - Information, Knowledge, and Uncertainty: General, Y40 - Dissertations (unclassified), and G10 - General Financial Markets: General (includes Measurement and Data)
Creator: Sargent, Thomas J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 032 Stichwort: Choices, Uncertainty, and Behavior Fach: D80 - Information, Knowledge, and Uncertainty: General
Creator: Miller, Preston J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 173 Beschreibung:
This paper reviews selected studies in the theory of macroeconomic stabilization policy and summarizes their key findings.
Stichwort: Macroeconomic stabilzation policy, Stabilization theory, and Uncertainty Fach: E63 - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy and D80 - Information, Knowledge, and Uncertainty: General
Creator: Rich, Robert W., 1958- and Tracy, Joseph S., 1956- Series: Joint committee on business and financial analysis Abstract:
This paper examines data on point and probabilistic forecasts of inflation from the Survey of Professional Forecasters. We use this data to evaluate current strategies for the empirical modeling of forecast behavior. In particular, the analysis principally focuses on the relationship between ex post forecast errors and ex ante measures of uncertainty in order to assess the reliability of using proxies based on predictive accuracy to describe changes in predictive confidence. After we adjust the data to account for certain features in the conduct and construct of the survey, we find a significant and robust correlation between observed heteroskedasticity in the consensus forecast errors and forecast uncertainty. We also document that significant compositional effects are present in the data that are economically important in the case of forecast uncertainty, and may be related to differences in respondents' access to information.
Stichwort: Forecasting, Inflation, Uncertainty, Disagreement, and Conditional heteroskedasticity Fach: C12 - Econometric and statistical methods : General - Hypothesis testing, C22 - Single equation models ; Single variables - Time-series models ; Dynamic quantile regressions, and E37 - Prices, business fluctuations, and cycles - Forecasting and simulation