Measuring uncertainty

Published

Journal Article

This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty. Our estimates display significant independent variations from popular uncertainty proxies, suggesting that much of the variation in the proxies is not driven by uncertainty. Quantitatively important uncertainty episodes appear far more infrequently than indicated by popular uncertainty proxies, but when they do occur, they are larger, more persistent, and are more correlated with real activity. Our estimates provide a benchmark to evaluate theories for which uncertainty shocks play a role in business cycles.

Full Text

Duke Authors

Cited Authors

  • Jurado, K; Ludvigson, SC; Ng, S

Published Date

  • January 1, 2015

Published In

Volume / Issue

  • 105 / 3

Start / End Page

  • 1177 - 1216

International Standard Serial Number (ISSN)

  • 0002-8282

Digital Object Identifier (DOI)

  • 10.1257/aer.20131193

Citation Source

  • Scopus