Understanding Macro Risks

摘要项目名称：理解宏观风险项目摘要提案号：ses -1227280首席研究员：Harald uhlig宏观经济风险对宏观经济走势有重要影响。正如2008年金融危机和目前的欧洲主权债务危机所显示的那样，这些问题反过来又成为宏观经济政策的核心问题。因此，理解这些关系是头等重要的。拟议的研究旨在为此目的作出贡献，特别进行三个项目。第一个项目提供了一种新的方法来估计宏观经济模型，当他们的资产定价属性是关注的中心。作为一种特殊的应用，研究了习惯形成的模型，从而加深了我们对这类重要模型的范围和特定特征的作用的理解，以在不确定的环境中复制资产定价和宏观经济事实。该项目将加深我们对经济体如何在宏观层面应对风险的理解。第二个项目调查Epstein-Zin偏好，这是宏观经济模型中解释资产定价和商业周期事实的第二个重要方法。该项目将澄清这些模型的关键特征，并为具有更详细特征或解决方案方法的模型提供有用的基准。第三个项目的动机是欧洲货币联盟当前的主权债务危机。事实应该证明，它有助于思考潜在的动态，也有助于分析各种政策选择及其后果。

AbstractProject Title: Understanding macro risks Project SummaryProposal Number: SES-1227280Principal Investigator: Harald UhligMacroeconomic risks have an important impact on macroeconomic movements. These are in turn central issues for macroeconomic policy, as the 2008 financial crisis as well as the ongoing European sovereign debt crisis has shown. Understanding these relationships is therefore of first-order importance. The proposed research seeks to make a contribution to that end, pursuing three projects in particular. The first project provides a new method for estimating macroeconomic models, when their asset pricing properties are the center of attention. As a particular application, a model with habit formation is investigated, thereby deepening our understanding for the scope as well as the role of particular features of this important class of model to replicate asset pricing and macroeconomic facts in an uncertain environment. This project will deepen our understanding about how economies react to risks at the macro level. The second project investigates Epstein-Zin preferences, a second important approach in macroeconomic models to explain asset pricing and business cycle facts. The project will provide a clarification of key features of these models and to provide a useful benchmark for models with more elaborate features or solution methods. The third project is motivated by the current sovereign debt crisis in the European monetary union. It should prove useful for thinking about the underlying dynamics as well as for analyzing various policy options and their consequences.