Academic Salon for Young Scientists, the 22nd event of Academic Series of “Hujiang Economy & Management Symposium”, was held at the First Lecture Hall of Block A of Economy & Management Building on December 21. Associate Professor XU Jiawen from the Department of Finance delivered the lecture on “How does uncertainty forecast economic activity? Dr. XIAO Yuewen from the Department of Finance commented on the lecture.
In this lecture, Dr. XU Jiawenevaluated the ability of several popular measures of uncertainty to forecast in-sample and out-of-sample over real and financial outcome variables, as well as over different quantiles of the GDP growth distribution. She emphasized that real-time data and estimation considerations were highly consequential, owing to look-ahead bias. In this paper, the authors constructed new real-time versions of both macroeconomic and financial uncertainty, and analyzed them together with their ex-post counterparts. They found some explanatory power in all uncertainty measures, with relatively good performance by ex-post macroeconomic uncertainty (MU). However, real-time MU performed poorly compared to its ex-post counterpart, a finding that they related to sub-sample instability in the performance of ex-post MU.
At the end of the talk, Dr. XIAO Yuewen summarized the main contributions, originalities and commented on possible future directions of the paper.
