Measuring Uncertainty

Kyle Jurado, Sydney Ludvigson and Serena Ng ()

No 19456, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. 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-codes: E0 E27 E3 E44 (search for similar items in EconPapers)
Date: 2013-09
New Economics Papers: this item is included in nep-mac
Note: AP EFG
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Citations: View citations in EconPapers (25)

Published as Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015. "Measuring Uncertainty," American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.

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Journal Article: Measuring Uncertainty (2015)
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