Measuring Global and Country-Specific Uncertainty / Ezgi Ozturk, Xuguang Simon Sheng.

Format:

Book

Government document

Author/Creator:

Ozturk, Ezgi.

Contributor:

Sheng, Xuguang Simon.

Series:

IMF Working Papers; Working Paper ; No. 2017/219

IMF Working Papers

Language:

English

Subjects (All):

Uncertainty.

Capital assets pricing model.

Physical Description:

1 online resource (42 pages)

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2017.

Summary:

Motivated by the literature on the capital asset pricing model, we decompose the uncertainty of a typical forecaster into common and idiosyncratic uncertainty. Using individual survey data from the Consensus Forecasts over the period of 1989-2014, we develop monthly measures of macroeconomic uncertainty covering 45 countries and construct a measure of global uncertainty as the weighted average of country-specific uncertainties. Our measure captures perceived uncertainty of market participants and derives from two components that are shown to exhibit strikingly different behavior. Common uncertainty shocks produce the large and persistent negative response in real economic activity, whereas the contributions of idiosyncratic uncertainty shocks are negligible.

Contents:

Cover

Measuring Global and Country-Specific Uncertainty

1. Introduction

2. Methodology: Estimating Uncertainty

3. Data

4. Properties of Economic Uncertainty

5. Uncertainty and Economic Activity

6. Conclusion

Acknowledgements

References.

Notes:

Includes bibliographical references.

Description based on publisher supplied metadata and other sources.

Description based on online resource; title from PDF title page (EBook Central, viewed July 9, 2025).

ISBN:

9781484326114

1484326113

9781484326145

1484326148

OCLC:

1013824843