Dimensions of Macroeconomic Uncertainty: A Common Factor Analysis

Arbeitspapier

Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which account for the common dynamics in this dataset. These factors are interpreted as macroeconomic uncertainty. The first factor mainly captures business cycle uncertainty while the second factor is identified as oil and commodity price uncertainty. While both types of uncertainty foreshadow a decline in output, surprise increases in oil and commodity price uncertainty appear to be more important for fluctuations in real activity.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 4991

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models ; Business Fluctuations; Cycles
• Thema: macroeconomic uncertainty ; factor model ; aggregate fluctuations

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Henzel, Steffen ; Rengel, Malte
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2014

Weitere Informationen

• Handle: http://hdl.handle.net/10419/103134
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ