Endogenous Uncertainty

Seminar abstract

In this presentation, Professor Andrea Carriero will explore how they developed a structural VAR with stochastic volatility in which one of the variables can impact both the mean and the variance of the other variables.

They provide conditional posterior distributions for this model, develop an MCMC algorithm for estimation, and show how stochastic volatility can be used to provide useful restrictions for the identification of structural shocks.

The model is then used to show that macroeconomic uncertainty can be considered to be exogenous when assessing its effects on the U.S. economy.

Instead, financial uncertainty can at least in part arise as a endogenous response to some macroeconomic developments, and overlooking this channel leads to distortions in the estimated effects of financial uncertainty shocks on the economy.

Booking

This is seminar is free to attend. We warmly encourage you to bring your friends, colleagues and classmates along.

Speaker bio

Professor Andrea Carriero is a Professor of Economics at Queen Mary University of London.

His research interests include;

• Applied Macroeconometrics
• Empirical Macroeconomics
• Financial Econometrics 

Andrea is working on the econometric analysis of the term structure of interest rates and on forecasting and structural modelling with large datasets.

His is a consultant for HM Treasury Debt Management Office as well as Banca Intesa, the Central Bank of the Czech Republic and the Central Bank of Estonia. He has also been an intern in the Monetary Policy Strategy Division of the ECB. 

Andrea has also published his work in the following journals;

• Journal of the Royal Statistic Society
• International Journal of Forecasting
• Journal of Applied Econometrics