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UID:79362b902b175ff0af9ac17d2026b7b9
CATEGORIES:Seminars
CREATED:20150211T194936
SUMMARY:Tetsuro Senga - Ohio State University (Job Market Seminar)
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:New Look at Uncertainty Shocks: Imperfect Information and Misallocation\nAb
 stract:\nUncertainty faced by individual firms appears to be heterogeneous.
  In this paper, I construct new empirical measures of firm-level uncertaint
 y using data from the I/B/E/S and Compustat. These new measures reveal pers
 istent 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 s
 tudy the aggregate implications of my new empirical findings. My model esta
 blishes 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 ob
 tained in an environment that embeds Jovanovic’s (1982) model of learning i
 n a setting where each firm gradually learns about its own productivity, an
 d each occasionally experiences a shock forcing it to start learning afresh
 . Firms differ in their information; more informed firms have lower posteri
 or 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 r
 esponse to an uncertainty shock. When confronted with a rise in firm-level 
 uncertainty consistent with advent of the Great Recession, it explains 79 p
 ercent of the observed decline in GDP and 89 percent of the fall in investm
 ent.\n
DTSTAMP:20260404T091317Z
DTSTART:20150209T153000Z
DTEND:20150209T170000Z
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