Measuring Uncertainty

S. Boragan Aruoba, Dun Jia and Felipe Saffie
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Felipe Saffie: University of Maryland

No 490, 2018 Meeting Papers from Society for Economic Dynamics

Abstract: This paper distinguishes three concepts that are usually commonly referred as uncertainty: i) real uncertainty or the increase in dispersion of productivity, ii) informational uncertainty or the decrease in the precision of a common signal, and iii) disagreement or the decrease in the precision of idiosyncratic signals of rms. A simple dynamic labor search model is used to analytically show that these concepts have dierent implications for aggregate outcomes and for the distributio of rm-level outcomes. These dierences are used in a DSGE labor-search model to identify and quantify each form of uncertainty in the United States over the last 30 years.

Date: 2018
New Economics Papers: this item is included in nep-dge
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed018:490

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