Measuring the origins of macroeconomic uncertainty

Haroon Mumtaz

No 864, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the 'origin' of a change in overall macroeconomic uncertainty. To demonstrate the proposed method we consider two applications. First, we estimate UK macroeconomic uncertainty due to external shocks and show that this component has become increasingly important over time for overall uncertainty. Second, we estimate US macroeconomic uncertainty conditioned on monetary policy shocks with the results suggesting that while policy uncertainty was important during early 1980s, recent contributions are estimated to be modest.

Keywords: FAVAR; Stochastic volatility; Proxy VAR; Uncertainty measurement (search for similar items in EconPapers)
JEL-codes: C11 C2 E3 (search for similar items in EconPapers)
Date: 2018-08-15
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:864

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