Associate professor Xu Jiawen, a faculty member of the Department of Finance, recently published a paper titled How Well Does Uncertainty Forecast Economic Activities? in the Journal of Money, Credit and Banking. This is an internationally renowned journal of macroeconomics (ABS 4-star), and is also considered a TOP A List journal at our school. Xu Jiawen is the first author of the paper, with John Rogers from Fudan International School of Finance serving as the corresponding author, while USSTBS is listed as the first affiliation.
The paper evaluates the forecasting ability of several popular measures of uncertainty. It constructs new real-time versions of both macro-economic and financial uncertainty, and analyzes them together with their ex post counterparts. The researchers find some explanatory power in all uncertainty measures, with relatively good performance by ex post macro-economic and financial uncertainty. However, real-time versions perform only about as well as other uncertainty measures such as economic policy uncertainty (EPU), a finding the researcher relates to data revisions in the construction of ex post uncertainty. Real-time data and estimation considerations are highly consequential, owing to look-ahead bias. Real-time uncertainty forecasts real-time outcome variables better than it forecasts ex post revised outcome variables.
In recent years, USSTBS has been accelerating its internationalization process. The Business School is promoting the implementation of the Talent Strengthening the School strategy, which involves paying more attention to the introduction and cultivation of talent. Furthermore, USSTBS is committed to enhancing the construction of its scientific research platform to create a favorable academic atmosphere and continue to conduct high-quality scientific research.
Translated and reviewed by: Nie Rui