Measuring Uncertainty

• 成果类型: Article
• 署名作者: Jurado, Kyle; Ludvigson, Sydney C.; Ng, Serena
• 署名单位: Columbia University; New York University; National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20131193
• 发表日期: 2015
• 页码: 1177-1216
• 关键词: cross-section; INVESTMENT; DISAGREEMENT; components; inference; number

摘要

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.