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The Causes and Macroeconomic Consequences of Uncertainty

October 03–04, 2013 Dallas Fed

Conference “The Causes and Macroeconomic Consequences of Uncertainty,” held at the Dallas Fed on Thursday and Friday, October 3–4, 2013.


Thursday, October 3

9:30 a.m.

Welcoming remarks

9:45 a.m.

Session 1: Risk News Shocks and the Business Cycle


Gabor Pinter, Bank of England
Konstantinos Theodoridis, Bank of England
Tony Yates,* University of Bristol

10:30 a.m.

Session 2: Risk Shocks


Lawrence Christiano,* Northwestern University
Roberto Motto, European Central Bank
Massimo Rostagno, European Central Bank

11:30 a.m.

Special luncheon event: “A Conversation on the Economic Effects of Policy Uncertainty”


Richard Fisher, President and CEO, Federal Reserve Bank of Dallas
John Taylor, Mary and Robert Raymond Professor of Economics, Stanford University
Moderator: Nicholas Bloom, Stanford University

2:00 p.m.

Session 3: Measuring Economic Policy Uncertainty


Scott Baker, Stanford University
Nicholas Bloom
Steven Davis,* University of Chicago Booth School of Business

2:45 p.m.

Session 4: Surprise and Uncertainty Indexes: Real-Time Aggregation of Real-Activity Macro Surprises


Chiara Scotti,* Federal Reserve Board

4:00 p.m.

Session 5: Understanding Uncertainty Shocks and the Role of the Black Swan


Anna Orlik, Federal Reserve Board
Laura Veldkamp,* New York University Stern School of Business

4:45 p.m.

Session 6: Reviewing the Leverage Cycle


Ana Fostel, George Washington University
John Geanakoplos,* Yale University

5:30 p.m.


Friday, October 4

8:30 a.m.

Session 7: Macroeconomic Volatility and External Imbalances


Alessandra Fogli, University of Minnesota and Federal Reserve Bank of Minneapolis
Fabrizio Perri,* University of Minnesota and Federal Reserve Bank of Minneapolis

9:15 a.m.

Session 8: Fiscal Volatility Shocks and Economic Activity


Jesús Fernández-Villaverde,* University of Pennsylvania
Pablo Guerrón-Quintana, Federal Reserve Bank of Philadelphia
Keith Kuester, University of Bonn
Juan Rubio-Ramírez, Duke University

10:30 a.m.

Session 9: Slow to Hire, Quick to Fire: Employment Dynamics with Ambiguous Private Signals


Cosmin Ilut, Duke University
Matthias Kehrig,* University of Texas at Austin
Martin Schneider, Stanford University

11:15 a.m.

Session 10: Volatility and Pass-Through


David Berger, Northwestern University
Joseph Vavra,* University of Chicago Booth School of Business




About the Speakers

Lawrence Christiano
Northwestern University

Christiano has been a full professor of economics at Northwestern University since 1992. His research interests focus on macroeconomics and time-series analysis. In recent years, he has worked on the development of empirical models of the macroeconomy and has sought to use these models to gain insights into the effectiveness of various macroeconomic policies, with a special focus on monetary policy.

Christiano is a consultant with the Federal Reserve Banks of Atlanta, Chicago and Minneapolis. He has ongoing relationships with the International Monetary Fund, the Central Bank of Peru, the Central Bank of Korea and the Swiss National Bank, where he regularly gives lectures on the construction, estimation and analysis of dynamic business cycle models.

Earlier in his career, Christiano was an assistant professor at the University of Chicago’s school of business, a visiting assistant professor at Carnegie Mellon and an economist at the Federal Reserve Bank of Minneapolis. He received his PhD from Columbia University.

Steven Davis
William H. Abbott Professor of International Business and Economics
University of Chicago Booth School of Business

Davis is the William H. Abbott Professor of International Business and Economics and deputy dean for faculty at the University of Chicago’s Booth School of Business. His studies include economic fluctuations, business dynamics, labor markets and public policy.

He is a research associate with the National Bureau of Economic Research, an economic adviser to the U.S. Congressional Budget Office, a visiting scholar at the Federal Reserve Bank of Chicago, senior adviser to the Brookings Papers on Economic Activity and a senior academic fellow with the Asian Bureau of Finance and Economic Research. He has also held positions at the National University of Singapore, Massachusetts Institute of Technology and Hoover Institution at Stanford University. From 2009 to 2011, he was editor of the American Economic Journal: Macroeconomics.

In addition to scholarly publications, Davis has written for The Atlantic and Bloomberg View as well as the Chicago Tribune, Financial Times, Los Angeles Times and Wall Street Journal. He has made appearances on CNBC, CNN, Fox News, NBC News and PBS, among others.

Davis has a bachelor’s degree in economics from Portland State University in Oregon and a master’s degree and PhD in economics from Brown University. He joined the Booth faculty in 1985.

Matthias Kehrig
Assistant Professor
University of Texas at Austin

Kehrig is an assistant professor at the University of Texas at Austin. As a macroeconomist working on business cycles, uncertainty and firm dynamics, he focuses his research on how firms treat uncertainty, how firm-level differences shape aggregate outcomes and how aggregate fluctuations in turn influence firm-level dynamics.

His recent research asks how business-cycle fluctuations impact individual firms differently. Kehrig uses census plant-level data to establish that there are fewer unproductive firms in booms than recessions. In related work, he shows that multiunit firms are not very effective at channeling resources to their most productive plants, while markets tend to allocate resources to the most efficient firms. He concludes that a considerable share of misallocation in the economy can be attributed to these firm-internal inefficiencies.

Kehrig earned an MA and a PhD in economics from Northwestern University after graduating with a dual MA in economics and CEMS Master in International Management from the University of Cologne and Stockholm School of Economics.

Fabrizio Perri
Monetary Advisor
University of Minnesota and Federal Reserve Bank of Minneapolis

Perri is a monetary advisor at the Federal Reserve Bank of Minneapolis and a professor of economics at the University of Minnesota. Previously, he was a professor of economics at Università Bocconi and Berkley Professor of Economics and Business at New York University. He is an affiliate of the National Bureau of Economic Research and the Centre for Economic Policy Research.

Perri does research in macroeconomics, international macroeconomics and inequality and is interested in understanding sources of risk and possibilities for risk sharing among individuals and countries.

Perri graduated from Università Bocconi in Italy with a degree in economics and social sciences and received his PhD in economics from the University of Pennsylvania.

Chiara Scotti
Senior Economist
Federal Reserve Board

Scotti is a senior economist in the international finance division at the Federal Reserve Board. Her work focuses on real-time data and, in particular, on real-time measurement of business conditions, macroeconomic surprises and uncertainty.

Scotti helped develop a real-time gauge of U.S. business conditions, the Aruoba–Diebold–Scotti Index, that is regularly updated by the Philadelphia Fed. Her work also covers monetary policy, emerging-market crises and contagion, and exchange rate dependence.

She holds a BA in economics from Università Bocconi in Italy and a PhD in economics from the University of Pennsylvania. Before obtaining her PhD, she worked as an analyst for Credit Suisse First Boston and as a PhD intern for the European Central Bank.

Jesús Fernández-Villaverde
Professor of Economics
University of Pennsylvania

Fernández-Villaverde is professor of economics at the University of Pennsylvania, research chair at Fundación de Estudios de Economía Aplicada (Spain), research fellow at the Centre for Economic Policy Research and research associate at the National Bureau of Economic Research. During the 2013–14 academic year, he is the Kenen Fellow in international economics at Princeton University. He is also an editor for the International Economic Review and Review of Economic Dynamics.

Fernández-Villaverde has published numerous papers on economic policy and the role of uncertainty. These include “Risk Matters: The Real Effects of Volatility Shocks” (American Economic Review, 2011), which studies the effects of uncertainty shocks on real interest rates in the business cycles of small emerging economies, and a review chapter on the macroeconomics of volatility in the proceedings of the Tenth World Congress of the Econometric Society (published in 2013). Currently, he is studying the effects of fiscal volatility shocks, the interactions of the zero lower bound of nominal interest rates with uncertainty, and the nonlinear dynamics generated by time-varying volatility.

Fernández-Villaverde obtained his PhD in economics from the University of Minnesota.

John Geanakoplos
James Tobin Professor of Economics
Yale University

Geanakoplos received his BA in mathematics from Yale University in 1975 (summa cum laude), his MA in mathematics and his PhD in economics from Harvard University in 1980. He started his career at Yale University, where he has been the James Tobin Professor of Economics since 1994. From 1996–2005 he was director of the Cowles Foundation for Research in Economics. He was a cofounder in 1992, and is still currently codirector, of the Hellenic Studies Program at Yale. He is an external professor and chairman of the science steering committee at the Santa Fe Institute, where he directed the economics program in 1990–91 and 1999–2000. He was awarded the first Bodossaki Prize in economics in 1994 (for the best economist of Greek heritage under 40) and the Samuelson Prize in 1999. He is a fellow of the Econometric Society and of the American Academy of Arts and Sciences. From 1990–94 he was a managing director and head of fixed income research at Kidder, Peabody & Co. He was one of the founding partners in 1995 of Ellington Capital Management, where he remains a partner. In 1970 he won the United States Junior Open Chess Championship. One of his current research topics is the leverage cycle.

Joseph Vavra
Assistant Professor
University of Chicago Booth School of Business

Vavra is assistant professor of economics in the Booth School of Business at the University of Chicago and a faculty research fellow at the National Bureau of Economic Research.

Vavra focuses on empirical macroeconomics, with an emphasis on the aggregate implications of microeconomic data. He used various confidential data sets underlying Bureau of Labor Statistics price indexes to document that price-setting patterns change over the business cycle. He showed that matching these facts with models of price-setting has important implications for aggregate inflation dynamics—in particular, aggregate price flexibility rises substantially during recessions. He applied similar methods to the study of household durables consumption and found that durables expenditures become much less responsive to stimulus policies during recessions.

His work includes “Inflation Dynamics and Time-Varying Volatility: New Evidence and an Ss Interpretation,” forthcoming in the Quarterly Journal of Economics.

Vavra received his PhD from Yale University.

Laura Veldkamp
Associate Professor of Economics
New York University Stern School of Business
Veldkamp is associate professor of economics at New York University, where she teaches courses on the global economy and information frictions in macroeconomics and finance.

Veldkamp’s research focuses on how individuals, investors and firms get their information, how that information affects the decisions they make and how those decisions affect the macroeconomy and asset prices. Her work spans macroeconomics, monetary economics, international finance, microeconomic theory and asset pricing and has appeared in journals that include American Economic Review, Review of Economic Studies and Econometrica.

Veldkamp earned a BA in applied mathematics and economics from Northwestern University and a PhD in economic analysis and policy from the Stanford Graduate School of Business.

Tony Yates
Reader in Economics
University of Bristol

Yates, who joined the University of Bristol in July this year, served for 20 years at the Bank of England. He is a member of the Centre for Macroeconomics at the University of London School of Economics and Political Science and also a visiting fellow at Queen Mary University of London.

At the Bank of England, Yates worked in the directorate responsible for monetary policy and in a mix of policy and research capacities. He was a visiting national expert at the European Central Bank in 2002 and a visiting scholar at New York University in 2005. His research interests include applied time series macroeconometrics and the design of monetary policy.

Yates holds a BSc from the University of Warwick and an MSc from the London School of Economics.