Measuring Uncertainty
American Economic Review
vol. 105,
no. 3, March 2015
(pp. 1177-1216)
Abstract
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)Citation
Jurado, Kyle, Sydney C. Ludvigson, and Serena Ng. 2015. "Measuring Uncertainty." American Economic Review, 105 (3): 1177-1216. DOI: 10.1257/aer.20131193Additional Materials
JEL Classification
- C53 Forecasting Models; Simulation Methods
- D81 Criteria for Decision-Making under Risk and Uncertainty
- E32 Business Fluctuations; Cycles
- G12 Asset Pricing; Trading Volume; Bond Interest Rates
- G35 Payout Policy
- L25 Firm Performance: Size, Diversification, and Scope