World Statistics Day 20-10-2020

Alhamdulillah.

Hari Statistik Negara telah diisytiharkan dan disambut secara tahunan pada setiap 20 Oktober bertujuan mengiktiraf sumbangan ahli statistik di Malaysia dan meningkatkan kesedaran terhadap kepentingan statistik di kalangan komuniti.

20th October juga merupakan Hari Statistik Dunia.  World Statistics Day mula disambut pada 20-10-2010 dan disambut setiap 5 tahun diperingkat antarabangsa.

Tahun ini sambutan di adakan secara atas talian.

Untuk mengelakkan sistur terlupa point penting yang sempat dicatatkan sepanjang sesi pembentangan teknikal paper yang sistur sempat hadiri, sistur share nota ringkas di sini. Untuk rujukan bila diperlukan. Ringkasan ni ada yang senior sis yang tulis juga.

Technical Paper 1: Uncertainty and Exchange Rates - Global Dynamics (Suah Jing Lian, BNM)

Uncertainty has risen sharply towards end of the decade due to a few major risk events and substantially since the COVID-19 pandemic. Literature suggests output responds adversely to uncertainty, with ambiguity on the macro-financial end.

The presenter discussed two questions as follows:

1. Empirical: What are the dynamics between uncertainty, the exchange rate and aggregate output?
2. Theoretical: What may be the frictions and channels underlying these effects?

Empirical literature finds that real economic activity slows in response to uncertainty shocks, followed by minor corrections as such:

1. Persistent output slowdown without correction, arising from macroeconomic uncertainty shocks;
2. Evidence of nonlinearity;
3. Three strands of theoretical underpinnings - (I) precautionary savings (II) real options effects (III) aggregate demand shocks. 

Macro-financial responses are more ambiguous and given less attention in quantitative and empirical applications. Aggregate in efficiencies stem from rational inattentiveness and bounded expectations, and interact with uncertainty based on five main ingredients.

1. Households and firms have (I) time-varying risk preferences, are (II) rationally inattentive, and have (III) bounded expectations;
2. Policymakers are (IV) cognitively limited and (V) loss averse.

Uncertainty erodes forecast precision, and gravitates expectations towards the innate biases of agents. Central banks can stabilise inflation and the output gap by addressing macro-behavioural frictions. 

Panel data covers 16 advanced and emerging economies, with some granularity on the East Asian region as well as Malaysia, comprising macro-economic data on variables as such:

1. Aggregate Output - Industrial Production Index;
2. Prices - Consumer Price Index;
3. Exchange Rate - Nominal Effective Exchange Rate;
4. Risk Aversion -10-Year Government Bond Yields;
5. Uncertainty - Economic Policy Uncertainty Index.

Meanwhile, Malaysia-specific study also covers: 

1. Labour Market – Employment; Uncertainty - Global EPU Index
2. Global Output-  Global GDP.

Five approaches were used to estimate the dynamics between uncertainty, the exchange rate and aggregate output:

1. Max-Uncertainty VAR (Jackson, Kliesen and Owyang (2020))
2. Panel VAR, with GMM-style instruments (Abrigo and Love (2016));
3. Bayesian Hierarchical PVAR (Jarocinski (2010));
4. LASSO fixed effects regression (Ahrens, Hansen and Schaffer (2019)); and
5. Panel quantile regression (Machado and Silva (2018)).

 In summary, two contributions were discussed that are:

• Conceptual framework to analytically view uncertainty shock

1. Macro-behavioural frictions, specifically rationally inattentive agents with bounded expectations, can produce prolonged output slowdown;
2. Scope for central banks to employ communications-based MP to stablise output and prices when uncertainty spikes.

• Empirical analysis on the impact of uncertainty and exchange rate shocks in a range of open economies:

1. Output moderates across all VAR/PVAR specifications in response to uncertainty and ER appreciation shocks
2. There may be heterogeneous responses to ER shocks at the sectoral-level
3.  Ambiguity in price and bond yield responses to uncertainty shocks, but moderate in response to ER appreciation shocks;
4. Possible nonlinear statistical relationship in the output-exchange rate-bond yields nexus;
5. Possible statistical distributional dimension along output growth but is imprecisely estimated.

Okay ada beberapa paper lagi tapi dah letih nak taip. Lain kali la sambung. Hahaha.

Last but not least. 

Selamat menyambut Hari Statistik Negara 2020. 

Statistik asas kelestarian kehidupan bermasyrakat dan negara.

Data anda masa depan kita. 

Pastikan anda dibanci.

Connecting the World With Data We Can Trust

Cause true colors are beautiful

Show me a smile then

Don't be unhappy, can't remember

When I last saw you laughing

If this world makes you crazy

And you've taken all you can bear

You call me up

Because you know I'll be there