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Measuring macroeconomic uncertainty: A cross-country analysis

Andreas Dibiasi and Samad Sarferaz

European Economic Review, 2023, vol. 153, issue C

Abstract: This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to post-WWII real-time data, we estimate macroeconomic uncertainty for 39 countries. The cross-country dimension of our uncertainty data allows us to study the impact of uncertainty shocks under varying degrees of employment protection legislation. Our empirical findings suggest that the effects of uncertainty shocks are stronger and more persistent in countries with low employment protection compared to countries with high employment protection. These empirical findings are in line with a theoretical model under varying firing cost.

Keywords: Uncertainty shocks; Real-time data; Rational forecast error; Employment protection legislation; System of national accounts (search for similar items in EconPapers)
JEL-codes: C51 C53 C82 E32 J8 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Working Paper: Measuring macroeconomic uncertainty: A cross-country analysis (2023)
Working Paper: Measuring Macroeconomic Uncertainty: A Cross-Country Analysis (2020) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eecrev:v:153:y:2023:i:c:s0014292123000120

DOI: 10.1016/j.euroecorev.2023.104383

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