Measuring Macroeconomic Uncertainty: A Cross-Country Analysis

Samad Sarferaz () and Andreas Dibiasi
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Samad Sarferaz: KOF Swiss Economic Institute, ETH Zurich, Switzerland

No 20-479, KOF Working papers from KOF Swiss Economic Institute, ETH Zurich

Abstract: This paper constructs internationally consistent measures of macroeconomic un- certainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to quarterly post-WWII real-time data, we estimate macroeconomic uncertainty for 39 coun- tries. The cross-country dimension of our uncertainty data allows us to identify the e ects of uncertainty shocks on economic activity under di erent employment pro- tection legislation. Our empirical ndings suggest that the e ects of uncertainty shocks are stronger and more persistent in countries with low employment pro- tection compared to countries with high employment protection. These empirical ndings are in line with a theoretical model under varying ring cost.

Keywords: Uncertainty Shocks; Real-Time Data; Rational Forecast Error; System of National Accounts; Employment Protection Legislation (search for similar items in EconPapers)
JEL-codes: C51 C53 C82 E32 J8 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2020-06
New Economics Papers: this item is included in nep-mac and nep-ore
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Citations: View citations in EconPapers (7)

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https://doi.org/10.3929/ethz-b-000420180 (application/pdf)

Related works:
Journal Article: Measuring macroeconomic uncertainty: A cross-country analysis (2023)
Working Paper: Measuring macroeconomic uncertainty: A cross-country analysis (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:kof:wpskof:20-479

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