Macroeconomic Volatility, Predictability, and Uncertainty in the Great Moderation
利用专业预测者调查数据，发现大稳健时期实际产出波动的下降部分源于可预测性和不确定性的降低，并指出固定参数自回归模型会高估不确定性下降幅度20%-25%，进而影响消费资本资产定价模型中的股权溢价预测。
I examine the extent to which the large decline in observed real output volatility, that is, the great moderation, can be attributed to changes in macroeconomic uncertainty and macroeconomic predictability using forecasts of future real output growth from the Survey of Professional Forecasters (SPF). The results indicate that both predictability and uncertainty have declined over the great moderation. The results indicate that measuring the decline in macroeconomic uncertainty with the volatility of shocks from a fixed-parameter autoregressive model overstates the decline in uncertainty by between 20% and 25%. I examine how this overstatement affects predictions of the equity premium in the consumption capital asset pricing model (CCAPM), and I relate the decline in predictability to a significant change in the relationship between SPF forecasts and key measures of current macroeconomic performance.