2nd Conference on Ambiguity and Robustness in Macroeconomics and Finance

Ambiguity and Robustness in Macroeconomics and Finance – March 6-7, 2015

2nd Ambiguity and Robustness Conference

On March 6-7, 2015, NYU hosted the 2nd Conference on Ambiguity and Robustness in Macroeconomics and Finance. The conference was generously funded by the C.V. Starr Center for Applied Economics. The program committee was formed by Jaroslav Borovička (New York University), Lars Peter Hansen (University of Chicago), Cosmin Ilut (Duke University) and Thomas Sargent (New York University).

The conference brought together researchers in macroeconomics and finance who are interested in how model uncertainty, robustness and ambiguity aversion on the side of households, firms and policy-makers impact their decision making and equilibrium outcomes. The conference followed upon a successful first workshop, held at the University of Chicago in February 2013.

The conference started with introductory remarks by Thomas Sargent which were followed by four papers on the first day, three papers on the second day and a poster session that concluded the event. Each presentation was followed by comments from a designated discussant and general discussion with the audience.

Jianjun Miao (Boston University) presented a paper that introduces robust concerns into financial contracting. John Zhu (University of Pennsylvania) provided additional insights into the economic interpretation of the contracts that arise as optimal in this framework. Fabio Maccheroni (Bocconi) introduced a framework for studying monetary policy under model uncertainty, and his presentation was followed by a conceptual discussion by Ken Kasa (Simon Fraser University).

The second half of the first day started with a paper by Cosmin Ilut (Duke University) on discrete price setting in ambiguous environment. Virgiliu Midrigan (New York University) compared this approach with existing results and empirical evidence in the literature. Finally, Kim Peijnenburg (Bocconi) presented a paper on survey evidence on ambiguity aversion and portfolio choice, followed by a discussion by Andrew Caplin (New York University) who designs large-scale surveys on portfolio choice for pension fund clients.

The second day started with a talk by Anastasios Karantounias (Federal Reserve Bank of Atlanta) on optimal fiscal policies under robust concerns. The discussion by Mikhail Golosov (Princeton University) dug deeper into the theoretical mechanism of the paper. Riccardo Colacito (University of North Carolina) presented a paper on the dynamics of exchange rates when agents are endowed with robust preferences. Tom Tallarini (Federal Reserve Bank of Minneapolis) provided directions for further extensions of this work. Finally, the last presentation was given by Ian Dew-Becker (Northwestern University) who talked about how robust concerns give rise to aversion to very persistent risks. Francesco Bianchi (Duke University) offered alternative modeling approaches for this paper.

The whole conference was concluded by a poster session in which Anmol Bhandari (University of Minnesota), Rhys Bidder (Federal Reserve Bank of San Francisco), Scott Condie (Brigham Young University), and Lars Peter Hansen (University of Chicago) presented their work in progress.

The full program of the conference can be found by clicking here.

The conference was attended by about 40-50 participants, including NYU faculty and students who engaged in stimulating discussions both during the presentations as well as during informal breaks. The complete list of participants and their affiliations are in the conference records maintained by the C.V. Starr Center for Applied Economics.