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A New Look at Uncertainty Shocks : Imperfect Information and Misallocation
http://hdl.handle.net/2261/56367
http://hdl.handle.net/2261/563670760ee39-0fe6-4c39-81dd-b9e5f07a96e3
名前 / ファイル | ライセンス | アクション |
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wp060.pdf (1.1 MB)
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Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2015-05-11 | |||||
タイトル | ||||||
タイトル | A New Look at Uncertainty Shocks : Imperfect Information and Misallocation | |||||
言語 | ||||||
言語 | eng | |||||
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資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
著者 |
Senga, Tatsuro
× Senga, Tatsuro |
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著者所属 | ||||||
著者所属 | The Ohio State University | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | Uncertainty faced by individual firms appears to be heterogeneous. In this paper, I construct new empirical measures of firm-level uncertainty using data from the I/B/E/S and Compustat. These new measures reveal 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 with Bayesian learning and uncertainty shocks to study the aggregate implications of my new empirical findings. My model establishes a close link between the rise in firms’ uncertainty at the start of a recession and the slow pace of subsequent recovery. These results are obtained in an environment that embeds Jovanovic’s (1982) model of learning in a setting where each firm gradually learns about its own productivity, and each occasionally experiences a shock forcing it to start learning afresh. Firms differ in their information; more informed firms have lower posterior variances in beliefs. An uncertainty shock is a rise in the probability that any given firm will lose its information. When calibrated to reproduce the level and cyclicality of my leading measure of firm-level uncertainty, the model generates a prolonged recession followed by anemic recovery in response to an uncertainty shock. When confronted with a rise in firm-level uncertainty consistent with advent of the Great Recession, it explains 79 percent of the observed decline in GDP and 89 percent of the fall in investment. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 2012~2016年度科学研究費補助金[基盤研究(S)]「長期デフレの解明」(研究代表者 東京大学経済学研究科・渡辺努, 課題番号:24223003) | |||||
書誌情報 |
JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series 巻 060, 発行日 2014-12 |
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出版者 | ||||||
出版者 | UTokyo Price Project | |||||
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識別子タイプ | URI | |||||
関連識別子 | http://www.price.e.u-tokyo.ac.jp/researchdata/ |