Dimensions of Macroeconomic Uncertainty: A Common Factor Analysis

Steffen Henzel and Malte Rengel

No 4991, CESifo Working Paper Series from CESifo

Abstract: Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which account for the common dynamics in this dataset. These factors are interpreted as macroeconomic uncertainty. The first factor mainly captures business cycle uncertainty while the second factor is identified as oil and commodity price uncertainty. While both types of uncertainty foreshadow a decline in output, surprise increases in oil and commodity price uncertainty appear to be more important for fluctuations in real activity.

Keywords: macroeconomic uncertainty; factor model; aggregate fluctuations (search for similar items in EconPapers)
JEL-codes: C32 C38 E32 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: DIMENSIONS OF MACROECONOMIC UNCERTAINTY: A COMMON FACTOR ANALYSIS (2017)
Working Paper: Dimensions of macroeconomic uncertainty: a common factor analysis (2017)
Working Paper: Dimensions of macroeconomic uncertainty: A common factor analysis (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_4991

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