Measuring Uncertainty

2015 ◽  
Vol 105 (3) ◽  
pp. 1177-1216 ◽  
Author(s):  
Kyle Jurado ◽  
Sydney C. Ludvigson ◽  
Serena Ng
Keyword(s):  
Business Cycles ◽  
Time Varying ◽  
Real Activity ◽  
Uncertainty Shocks ◽  
Macroeconomic Uncertainty

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. (JEL C53, D81, E32, G12, G35, L25)

scholarly journals U.S. Economic Uncertainty Shocks and China’s Economic Activities: A Time-Varying Perspective

SAGE Open ◽  
2021 ◽  
Vol 11 (3) ◽  
pp. 215824402110326
Author(s):  
Lin Liu
Keyword(s):  
Global Financial Crisis ◽  
The United States ◽  
Time Varying ◽  
Economic Uncertainty ◽  
Transient Effects ◽  
Economic Activities ◽  
Common Shocks ◽  
Uncertainty Shocks ◽  
Intensive Intervention ◽  
The Global Financial Crisis

This paper presents new empirical evidence concerning the time-varying responses of China’s macroeconomy to U.S. economic uncertainty shocks through a novel TVP-VAR model. The results robustly reveal that a rise in U.S. economic uncertainty would exert sizable, persistent, and significant detrimental effects on China’s gross domestic product (GDP), price level, and short-term interest rate during the period when common shocks take place, such as the global financial crisis around 2008, whereas small and transient effects in the tranquil times. Therefore, China should diversify its international linkages and gradually reduce the dependence on the United States into a certain range to shield the domestic economy, as well as improve the independence of monetary policy. Furthermore, to withstand unfavorable external shocks, China should be prudent on greater opening-up and carry out more intensive intervention when common shocks hit the world economy. Finally, investors should be alert to the potential detrimental impact of U.S. economic uncertainty on Chinese assets’ fundamentals.

Time-Varying Uncertainty of the Federal Reserve's Output Gap Estimate

2021 ◽  
pp. 1-38
Author(s):  
Travis J. Berge
Keyword(s):  
Aggregate Demand ◽  
Stochastic Volatility Model ◽  
Output Gap ◽  
Time Varying ◽  
Common Component ◽  
Macroeconomic Variables ◽  
Macroeconomic Uncertainty ◽  
Volatility Model ◽  
The Common ◽  
Gap Estimate

Abstract A factor stochastic volatility model estimates the common component to output gap estimates produced by the staff of the Federal Reserve, its time-varying volatility, and time-varying, horizon-specific forecast uncertainty. The output gap estimates are uncertain even well after the fact. Nevertheless, the common component is clearly procyclical, and positive innovations to the common component produce movements in macroeconomic variables consistent with an increase in aggregate demand. Heightened macroeconomic uncertainty, as measured by the common component's volatility, leads to persistently negative economic responses.

Time-varying impact of uncertainty shocks on the US housing market

2019 ◽  
Vol 180 ◽  
pp. 15-20 ◽  
Author(s):  
Christina Christou ◽  
Rangan Gupta ◽  
Wendy Nyakabawo
Keyword(s):  
Housing Market ◽  
Time Varying ◽  
Uncertainty Shocks ◽  
The Us

Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets

2020 ◽  
Author(s):  
Patrick Augustin ◽  
Roméo Tédongap
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Dynamic Equilibrium ◽  
Time Varying ◽  
State Variables ◽  
Expectations Hypothesis ◽  
Macroeconomic Uncertainty ◽  
Disappointment Aversion ◽  
Nominal Interest Rates ◽  
Continuous State

We solve a dynamic equilibrium model with generalized disappointment-aversion preferences and continuous state-endowment dynamics. We apply the framework to the term structure of interest rates and show that the model generates an upward-sloping term structure of nominal interest rates and a downward-sloping term structure of real interest rates and that it accounts for the failure of the expectations hypothesis. The key ingredients are preferences with disappointment aversion, preference for early resolution of uncertainty, and an endowment economy with three state variables: time-varying macroeconomic uncertainty, time-varying expected inflation, and inflation uncertainty. This paper was accepted by Karl Diether, finance.

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