Measuring Uncertainty / Kyle Jurado, Sydney C. Ludvigson, Serena Ng.

Format:

Book

Author/Creator:

Jurado, Kyle.

Contributor:

National Bureau of Economic Research.

Ludvigson, Sydney C.

Ng, Serena.

Series:

Working Paper Series (National Bureau of Economic Research) no. w19456.

NBER working paper series no. w19456

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2013.

Summary:

This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. 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.

Notes:

Print version record

September 2013.