Rossi, Barbara, Sekhposyan, Tatevik, Soupre, Mattheiu, (2016), “Understanding the Sources of Macroeconomic Uncertainty”, Center for Economic Policy Research, July
We propose a decomposition to distinguish between Knightian uncertainty (ambiguity) and risk, where the first measures the uncertainty about the probability distribution generating the data, while the second measures uncertainty about the odds of the outcomes when the probability distribution is known. We use the Survey of Professional Forecasters (SPF) density forecasts to quantify overall uncertainty as well as the evolution of the different components of uncertainty over time and investigate their importance for macroeconomic fluctuations. We also study the behavior and evolution of the various components of our decomposition in a model that features ambiguity and risk.
- Bordon, Anna Rose, Ebeke, Christian, Shirono, Kazuko, (2016), “When Do Structural Reforms Work? On the Role of the Business Cycle and Macroeconomic Policies”, IMF Working Paper, No. 16/62, 15 Μarch
- Bonfiglioli, Alessandra, Gancia, Gino A, (2015), “Economic Uncertainty and Structural Reforms”,Centre for Economic Policy Research, Νovember