The World Uncertainty Index / Hites Ahir, Nicholas Bloom, Davide Furceri.

Format:

Book

Author/Creator:

Ahir, Hites.

Contributor:

National Bureau of Economic Research.

Bloom, Nicholas.

Furceri, Davide.

Series:

Working Paper Series (National Bureau of Economic Research) no. w29763.

NBER working paper series no. w29763

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2022.

Summary:

We construct the World Uncertainty Index (WUI) for an unbalanced panel of 143 individual countries on a quarterly basis from 1952. This is the frequency of the word "uncertainty" in the quarterly Economist Intelligence Unit country reports. Globally, the Index spikes around major events like the Gulf War, the Euro debt crisis, the Brexit vote and the COVID pandemic. The level of uncertainty is higher in developing countries but is more synchronized across advanced economies with their tighter trade and financial linkages. In a panel vector autoregressive setting we find that innovations in the WUI foreshadow significant declines in output. This effect is larger and more persistent in countries with lower institutional quality, and in sectors with greater financial constraints.

Notes:

Print version record

February 2022.