Measuring International Uncertainty: The Case of Korea

Dong Jin Lee (), Minchul Shin, Boyuan Zhang and Molin Zhong

No 2017-066, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We leverage a data rich environment to construct and study a measure of macroeconomic uncertainty for the Korean economy. We provide several stylized facts about uncertainty in Korea from 1991M10-2016M5. We compare and contrast this measure of uncertainty with two other popular uncertainty proxies, financial and policy uncertainty proxies, as well as the U.S. measure constructed by Jurado et. al. (2015).

Keywords: Business cycle; Data rich environment; Korean economy; Stochastic volatility; Uncertainty (search for similar items in EconPapers)
JEL-codes: C11 C32 E32 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2017-06-20
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Journal Article: Measuring international uncertainty: The case of Korea (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2017-66

DOI: 10.17016/FEDS.2017.066

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