Natalia Levenko, PhD student at the TalTech Department of Economics and Finance, defended on 17 December 2020 her PhD thesis "Uncertainty and Measurement in Macroeconomics".
The thesis consists of three publications covering selected macroeconomic topics with a special focus on economic uncertainty and measurement. The analysis is restricted to European economies as these countries play an important role in the global economy and are typically less studied than the US economy. While the unifying theme for the thesis is economic uncertainty and data quality, the papers focus on different topics, covering growth decomposition, consumer expectations and household saving, and issues related to measuring forecast uncertainty.
The publications of the thesis look at the developments in the European economy from different angles, decomposing economic growth and examining different features of economic uncertainty. The findings of all three publications are relevant for empirical studies, particularly studies of recessions as times when it might be important to have a precise idea of the dynamics of growth and the movements of uncertainty. Below is a summary of the main findings:
- The results indicate that TFP growth and capital deepening were the main contributors to output growth in the sample countries before the global financial crisis. During the crisis, the patterns of growth decomposition were quite heterogeneous across the countries, while weak output growth after the crisis was paired with sluggish TFP growth in all of the sample countries.
- the household saving rate is persistent and is mostly driven by income growth and labour income uncertainty, the quantitative effects of these two drivers being roughly the same. Credit availability, interest rates, and inflation have little or no effect on saving. The findings of the paper that expectations matter for the saving behaviour of households might be of importance for policymaking
- the mean individual variance of density forecasts, which is often referred to in the literature as a direct measure of uncertainty, is a noisy proxy for uncertainty and is a function of exogenous processes such as developments in the computer software market or improved professional training. The findings imply that the actual movements in forecast uncertainty might have different dynamics from what might be concluded from looking at the mean individual variance of the forecasts.
Supervisor: Professor Karsten Staehr (TalTech)
Opponents: Mariarosaria Comunale, PhD (Bank of Lithuania) and Associate Professor Lenno Uusküla (University of Tartu)
Full text of the thesis is available at the Taltech Library Digital Collection.