时间：2019年12月24日（周二）12:00-13:00

地点：同济大厦A楼505室

题目：Measuring the Global Macroeconomic Uncertainty 全球宏观经济不确定的测度

主讲人：沈一帆（南京审计大学 助理教授）

Abstract:

We construct a proxy of global macroeconomic uncertainty by employing a rich global dataset that contains 33 world major advanced and emerging economies. Our proxy displays significant independent variations from popular regional or country-specific uncertainty measures, and can serve as an alternative to the global economic policy uncertainty (EPU) index when one needs to identify uncertainty shocks at the aggregate global level. We examine dynamic impacts among global macroeconomic uncertainty and other global macroeconomic variables, and provide two meaningful applications of our proxy in empirical studies by linking it to the price formation mechanism of oil and by disentangling the global common and country-specific components involved in uncertainty shocks. We show that the well-documented relationship between uncertainty and real activities is not only a regional issue, but also a global phenomenon. Global uncertainty, which works as aggregate demand shocks, plays a key role in determining commodity prices. In addition, complementing the conventional within-country analysis of uncertainty impact, we show that the global common components in uncertainty shocks account for a substantial fraction of business cycle fluctuations in a certain economy. Our empirical findings are robust according to a variety of robustness analysis.