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