Measuring 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....

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Bibliographic Details
Published in:The American economic review 2015-03, Vol.105 (3), p.1177-1216
Main Authors: Jurado, Kyle, Ludvigson, Sydney C., Ng, Serena
Format: Article
Language:English
Subjects:
1959-2012
Analytical forecasting
Business cycles
Central banks
Datasets
Econometrics
Economic analysis
Economic recessions
Economic uncertainty
Economics
Employment
Equilibrium
Estimation
Macroeconomics
Quantitative analysis
Rates of return
Securities markets
Standard deviation
Statistical variance
Stock market indices
Stock markets
Studies
Uncertainty
Volatility
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