Measuring Uncertainty

Kyle Jurado, Sydney Ludvigson and Serena Ng ()

American Economic Review, 2015, vol. 105, issue 3, 1177-1216

Abstract: This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty. 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 C53, D81, E32, G12, G35, L25)

JEL-codes: C53 D81 E32 G12 G35 L25 (search for similar items in EconPapers)
Date: 2015
Note: DOI: 10.1257/aer.20131193
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Working Paper: Measuring Uncertainty (2013)
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