Skip to main content

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.

Duke Scholars

Altmetric Attention Stats
Dimensions Citation Stats

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

APA
Chicago
ICMJE
MLA
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