Measuring uncertainty
Publication
, Journal Article
Jurado, K; Ludvigson, SC; Ng, S
Published in: American Economic Review
March 1, 2015
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.
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Published In
American Economic Review
DOI
EISSN
1944-7981
ISSN
0002-8282
Publication Date
March 1, 2015
Volume
105
Issue
3
Start / End Page
1177 / 1216
Related Subject Headings
- Economics
- 38 Economics
- 35 Commerce, management, tourism and services
- 15 Commerce, Management, Tourism and Services
- 14 Economics
Citation
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Chicago
ICMJE
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NLM
Jurado, K., Ludvigson, S. C., & Ng, S. (2015). Measuring uncertainty. American Economic Review, 105(3), 1177–1216. https://doi.org/10.1257/aer.20131193
Jurado, K., S. C. Ludvigson, and S. Ng. “Measuring uncertainty.” American Economic Review 105, no. 3 (March 1, 2015): 1177–1216. https://doi.org/10.1257/aer.20131193.
Jurado K, Ludvigson SC, Ng S. Measuring uncertainty. American Economic Review. 2015 Mar 1;105(3):1177–216.
Jurado, K., et al. “Measuring uncertainty.” American Economic Review, vol. 105, no. 3, Mar. 2015, pp. 1177–216. Scopus, doi:10.1257/aer.20131193.
Jurado K, Ludvigson SC, Ng S. Measuring uncertainty. American Economic Review. 2015 Mar 1;105(3):1177–1216.
Published In
American Economic Review
DOI
EISSN
1944-7981
ISSN
0002-8282
Publication Date
March 1, 2015
Volume
105
Issue
3
Start / End Page
1177 / 1216
Related Subject Headings
- Economics
- 38 Economics
- 35 Commerce, management, tourism and services
- 15 Commerce, Management, Tourism and Services
- 14 Economics