American Economic Review· 2015Q1
Measuring Uncertainty
- 2,940citations
- Q1SCImago
- 2015year
Short summary
New econometric estimates of macroeconomic uncertainty reveal that popular proxies often misrepresent its true variation, with significant uncertainty episodes occurring less frequently but being more impactful.
AI-generated from the title and abstract; the full text is not read.
Key points
- Econometric estimates of uncertainty show independent variation from popular proxies.
- Significant uncertainty episodes are less frequent but more impactful than proxy measures suggest.
- New estimates are more correlated with real economic activity.
- Provides a benchmark for evaluating theories of uncertainty's role in business cycles.
AI-generated from the title and abstract; the full text is not read.
Abstract
This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty. Our estimates display significant independent variations from popular uncertainty proxies, suggesting that much of the variation in the proxies is not driven by uncertainty. Quantitatively important uncertainty episodes appear far more infrequently than indicated by popular uncertainty proxies, but when they do occur, they are larger, more persistent, and are more correlated with real activity. Our estimates provide a benchmark to evaluate theories for which uncertainty shocks play a role in business cycles. (JEL C53, D81, E32, G12, G35, L25)
The authors' abstract, as published at the source. American Economic Review, 2015 · DOI ↗
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Field: General Economics, Econometrics and Finance
General Economics, Econometrics and FinanceEconomics, Econometrics and Finance