报告题目：Knightian uncertainty and the 2008-12 credit crises

报告人：Professor Sujoy Mukerji

时间：2017年10月10日（星期二）下午15:00-16:00

地点：三教三阶上

 

报告简介：

This lecture will discuss some recent developments in economics and finance on the theory of decision making under uncertainty and argue that these new theories and models are singularly useful in explaining and understanding the key facts of the 2008-12 credit crises. Moreover, it will be argued that the understanding based on these theories have significant policy implications about how such crises may be alleviated. While the formal articulation of the theories took place only recently, the ideas at the heart of the theories were discussed by Keynes  and Knight  in the 1920’s, who pointed out that for many important economic decisions, the decision maker faced “genuine” uncertainty of the kind where he did not have very reliable information about the relevant odds.

 

报告人简介：

Professor Sujoy Mukerji did his undergraduate studies in Presidency College, Calcutta, before going on to do an MA (Economics) at the Delhi School of Economics and a PhD at Yale University. He joined Queen Mary as the Head of School of Economics and Finance in September 2015. Prior to that, his most recent appointment was at Oxford University, where he was a Professor of Economics.

His research has primarily been on decision making under ambiguous uncertainty (sometimes called “Knightian Uncertainty”) its foundations and its relevance in economic and financial contexts. His broader research interests lie in the intersection of bounded rationality and economic theory. 

Ambiguity, or lack of good knowledge of probabilities affecting contingent outcomes of a chosen action, is pervasive in economic decision making. It is not particular to the ill- informed and less sophisticated, since it is often hard to distinguish (on the basis of historical data) between different models providing distinct (stochastic) forecasts of relevant financial variables. Hence, it can be prudent to choose actions that are robust to the uncertainty about the “correct” model. 

In work co-authored with Peter Klibanoff and Massimo Marinacci formulated a new model of decision making under ambiguity, dubbed the "Smooth Ambiguity Model." The smooth ambiguity framework has been extended to accommodate models involving dynamic decision making and applied to the analyses of financial decision making, re-exploring among other things the famous equity premium puzzle.

Professor Mukerji has published widely in the leading journals of Economics and is an Associate Editor at Econometrica, the profession’s most highly regarded journal.