Policy Design Lab.


 東北大学 現代経済学研究会セミナー
Tohoku University Modern Economics Seminar


2024.05.30 (THU) 16:20-17:50
Title: A New Look at Uncertainty Shocks: Imperfect Information and Misallocation 慶應義塾大学 千賀 達朗
Uncertainty faced by individual firms appears to be heterogeneous. In this paper, I construct a new set of empirical measures of firm-level uncertainty using data such as the IBES and Compustat. The panel data that I construct reveals persistent differences in the degree of uncertainty facing individual firms not reflected by existing measures. Consistent with existing measures, I find that the average level of uncertainty across firms is countercyclical, and that it rose sharply at the start of the Great Recession. I next develop a heterogeneous firm model in a setting wherein each firm gradually learns about its own productivity, and each occasionally experiences a shock forcing it to start learning afresh. Uncertainty is gradually resolved as firms operate longer and get better informed. When calibrated to reproduce the level and cyclicality of the cross-sectional dispersion of sales growth, I show that an uncertainty shock can explain 18 percent of the observed output volatility and 29 percent of the investment volatility in the data.​

当研究会について About us:
The Department of Economics at Tohoku University has hosted this seminar series since 2006. We invite economists actively engaged in research intended for submission to top international economics journals. If you're interested in this, feel free to join our seminar. Participation is open to all, with no restrictions.
使用言語 Language:
The seminar language is English in principle. However, please feel free to ask questions in Japanese as an attendee.


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