Measuring uncertainty

Kyle Jurado, Sydney C. Ludvigson, Serena Ng

    Research output: Contribution to journalArticle

    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.

    Original languageEnglish (US)
    Pages (from-to)1177-1216
    Number of pages40
    JournalAmerican Economic Review
    Volume105
    Issue number3
    DOIs
    StatePublished - Mar 1 2015

    ASJC Scopus subject areas

    • Economics and Econometrics

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  • Cite this

    Jurado, K., Ludvigson, S. C., & Ng, S. (2015). Measuring uncertainty. American Economic Review, 105(3), 1177-1216. https://doi.org/10.1257/aer.20131193