Measuring macroeconomic uncertainty: A cross-country analysis

Arbeitspapier

This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to quarterly post-WWII real-time data, we estimate macroeconomic uncertainty for 39 countries. The cross-country dimension of our uncertainty data allows us to identify the effects of uncertainty shocks on economic activity under different employment protection legislation. Our empirical findings suggest that the effects of uncertainty shocks are stronger and more persistent in countries with low employment protection compared to countries with high employment protection. These empirical findings are in line with a theoretical model under varying firing cost.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: KOF Working Papers ; No. 479

Classification and Topics

• Classification: Wirtschaft ; Model Construction and Estimation ; Forecasting Models; Simulation Methods ; Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access ; Business Fluctuations; Cycles
• Subject: Uncertainty Shocks ; Real-Time Data ; Rational Forecast Error ; Systemof National Accounts ; Employment Protection Legislation

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Dibiasi, Andreas ; Sarferaz, Samad
• Event: Veröffentlichung
• (who): ETH Zurich, KOF Swiss Economic Institute
• (where): Zurich
• (when): 2020

Further information

• DOI: doi:10.3929/ethz-b-000420180
• Handle: http://hdl.handle.net/10419/235093