What is Certain about Uncertainty?

Danilo Cascaldi-Garcia, Deepa Datta, Thiago Revil T. Ferreira, Olesya Grishchenko, Mohammad Jahan-Parvar, Juan M. Londono, Francesca Loria, Sai Ma, Marius Rodriguez (), John Rogers, Cisil Sarisoy and Ilknur Zer
Additional contact information
Thiago Revil T. Ferreira: https://www.federalreserve.gov/econres/thiago-r-t-ferreira.htm
Francesca Loria: https://www.federalreserve.gov/econres/francesca-loria.htm
Cisil Sarisoy: https://www.federalreserve.gov/econres/cisil-sarisoy.htm
Ilknur Zer: https://www.federalreserve.gov/econres/ilknur-zer.htm

No 1294, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Researchers, policymakers, and market participants have become increasingly focused on the effects of uncertainty and risk on financial market and economic outcomes. This paper provides a comprehensive survey of the many existing measures of risk, uncertainty, and volatility. It summarizes what these measures capture, how they are constructed, and their effects, paying particular attention to large uncertainty spikes, such as those appearing concurrently with the outbreak of COVID-19. The measures are divided into three types: (1) news-based, survey- based, and econometric; (2) asset market based; and (3) Knightian uncertainty. While uncertainty has significant real and financial effects and spills over across countries, the size and persistence of these effects depend crucially on the source of uncertainty.

Keywords: global risks; Uncertainty; Volatility; Crises; Economic policy; Monetary policy; Geopolitical risk; Trade policy; Downside risk (search for similar items in EconPapers)
JEL-codes: E60 G10 G15 (search for similar items in EconPapers)
Pages: 73
Date: 2020-07-16
New Economics Papers: this item is included in nep-mac and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Related works:
Journal Article: What Is Certain about Uncertainty? (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:1294

DOI: 10.17016/IFDP.2020.1294

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