Measuring Uncertainty

American Economic Review - Tập 105 Số 3 - Trang 1177-1216 - 2015
Kyle Jurado1, Sydney C. Ludvigson2, Serena Ng1
1Department of Economics, Columbia University, 1019 International Affairs Building, MC 3308, 420 West 118th Street, New York, NY 10027 (e-mail: )
2Department of Economics, New York University, 19 West 4th Street, 6th Floor, New York, NY 10012, and NBER (e-mail: )

Tóm tắt

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. (JEL C53, D81, E32, G12, G35, L25)

Từ khóa


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Thông tin
Thông tin xuất bản

American Economic Review

Tập 105 Số 3

1177-1216

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