Tallinna Tehnikaülikoolis on erialane kompetents ja professionaalsed õppejõud – tagamaks koolituse kõrget taset, viivad kursuseid läbi oma ala spetsialistid nii TTÜst kui ka mujalt
Majandusanalüüsi ja rahanduse seminar: Is the shift in the uncertainty level provoked by the Great Recession? A non-linear approach to the survey uncertainty
- Aeg:11.03.20 - 11.03.20
- Koht: Tallinna Tehnikaülikooli ruum SOC-417 (Akadeemia tee 3)
Majandusanalüüsi ja rahanduse instituut korraldab 11. märtsil teadusseminari:
"Is the shift in the uncertainty level provoked by the Great Recession? A non-linear approach to the survey uncertainty".
Seminar toimub kell 16:00–17:00 ruumis SOC-417. Ettekande teeb Natalia Levenko.
ABSTRACT: At the time of the Great Recession, there occurred a noticeable shift in the level of survey uncertainty measured as the mean individual variance of density forecasts. Meanwhile, the disagreement of forecasters, or cross-sectional variance of point forecasts derived from the same dataset, has shown completely different and much more expected countercyclical dynamics. Seeking to explain a puzzling regime shift in the mean individual variance, the paper applies smooth transition regression analysis to the data from European Survey of Professional Forecasters and shows that this measure of uncertainty has a long-run nonlinear relationship with the share of non-rounded responses in the survey. Results suggest that the mean individual variance, often referred to as a direct measure of uncertainty, is a “noisy” variable directly associated with the changes in the methodology used by forecasters and as such absorbs information irrelevant for measuring uncertainty. The results are robust after having accounted for potential endogeneity.
Keywords: survey uncertainty; disagreement of forecasters; density forecasts; surveys of professional forecasters; Great Recession; smooth transition; instrumental variables.
JEL codes: C25, C32, C83, D81, E32, E37
Majandusanalüüsi ja rahanduse instituudi teadusseminarid toimuvad tavaliselt kuu teisel ja neljandal kolmapäeval. Seminarid on avatud ning nende eesmärgiks on ettekannete arutelu ja teaduskoostöö edendamine. Ettekanne kestab 45 minutit, millele järgneb veerandtunnine arutelu. Seminar on tavaliselt inglise keeles.
TalTech majandusanalüüsi ja rahanduse instituudi teadusseminarid toimuvad koostöös Euroopa Liidu rahastatava Horisont 2020 teadus- ja innovatsiooniprogrammi ning Marie Skłodowska-Curie programmi grandiprojektiga nr 734712 „Institutsioonid teadmistepõhise majandusarengu saavutamiseks“. Küsimuste korral pöörduda prof. Karsten Staehri, karsten dot staehr at taltech dot ee või Rachatar Nilavongse, rachatar dot nilavongse at taltech dot ee poole.
