Measuring macroeconomic uncertainty: A cross-country analysis

Andreas Dibiasi and Samad Sarferaz
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Samad Sarferaz: KOF Swiss Economic Institute

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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)
Date: 2023-04
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Published in European Economic Review, 2023, 153, pp.104383. ⟨10.1016/j.euroecorev.2023.104383⟩

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Related works:
Journal Article: Measuring macroeconomic uncertainty: A cross-country analysis (2023)
Working Paper: Measuring Macroeconomic Uncertainty: A Cross-Country Analysis (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04167343

DOI: 10.1016/j.euroecorev.2023.104383

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