Measuring macroeconomic uncertainty: A historical perspective

Yifan Shen ()

Economics Letters, 2020, vol. 196, issue C

Abstract: Using 100 years of data, we provide a new macroeconomic uncertainty proxy for the US and other 14 major industrial countries. We show macroeconomic uncertainty experiences an overall declining pattern in the century, and the influential political and economic events (two world wars and major recessions) are associated with a dramatic surge in macroeconomic uncertainty. Meanwhile, a global common component plays an important role in driving uncertainty fluctuations across countries.

Keywords: Uncertainty shocks; Stochastic volatility; Uncertainty spillover (search for similar items in EconPapers)
JEL-codes: E30 F40 N10 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176520303566
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:196:y:2020:i:c:s0165176520303566

DOI: 10.1016/j.econlet.2020.109592

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().