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A Critical Look at ...
A Critical Look at Measures of Macroeconomic Uncertainty
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- Kjellberg, David (författare)
- Uppsala universitet,Nationalekonomiska institutionen
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- Post, Erik (författare)
- Uppsala universitet,Nationalekonomiska institutionen
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(creator_code:org_t)
- 2007
- Engelska 27 s.
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Serie: Working paper / Department of Economics, Uppsala University (Online), 1653-6975 ; 2007:14
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Abstract
Ämnesord
Stäng
- This paper takes a critical look at available proxies of uncertainty. Two questions are adressed: (i) How do we evaluate proxies given that subjective uncertainty is inherently unobservable? (ii) Is there such a thing as a gen- eral macroeconomic uncertainty? Using correlations, some narrative evidence and a factor analysis we find that disagreement and stock market volatility proxies seem to be valid measures of uncertainty whereas probability forecast measures are not. This result is reinforced when we use our proxies in stan- dard macroeconomic applications where uncertainty is supposed to matter. Uncertainty is positively correlated with the absolute value of the GDP-gap.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Uncertainty
- Macroeconomics
- Survey Data
- Economics
- Nationalekonomi
Publikations- och innehållstyp
- vet (ämneskategori)
- rap (ämneskategori)