We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and … compare these optimal rules against plausible alternatives. Model uncertainty is shown to be a substantial problem; the … rules are robust to model uncertainty may be an overly sanguine conclusion. …

In this paper, we show how an investor can incorporate uncertainty about expected returns when choosing a mean … investor is neutral to uncertainty, we consider the case where the investor has multiple priors and is averse to uncertainty … model aversion to uncertainty via a minimization over the set of priors. The multi-prior model has several attractive …

In this paper, we show how an investor can incorporate uncertainty about expected returns when choosing a mean … investor is neutral to uncertainty, we consider the case where the investor has multiple priors and is averse to uncertainty … model aversion to uncertainty via a minimization over the set of priors. The multi-prior model has several attractive …

possibility of model misspecification. This work is motivated by the difficulty in estimating precisely the probability law for …

, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood … between risk and uncertainty is implemented by applying the Gilboa-Schmeidler maxmin with multiple priors framework to lenders …' beliefs about the probability of bailout. Events like Lehman's collapse are conceived of as 'black swan' events that led …

range of specific outcomes, allowing us to measure uncertainty, assess its driving forces, and compare this measure of … uncertainty with the dispersion of point-estimates among individual forecasters (a measure of disagreement). We also assess the … accuracy of market-generated probability density forecasts. A consistent theme is that few of the behavioural anomalies present …

parameters. When the forecasting model admits only normally-distributed outcomes, we find small, acyclical changes in uncertainty …A fruitful emerging literature reveals that shocks to uncertainty can explain asset returns, business cycles and … financial crises. The literature equates uncertainty shocks with changes in the variance of an innovation whose distribution is …

A hallmark of modern labour economics is the close interplay between the development of theory, data sources and … economics of UI has been a very active research area over the past 25 years or so. New theoretical approaches, in particular job …

forecasting structure to time series models and their forward-looking dynamics, which consists of expected values of future … their forecasting ability. …