A Critical Look at Measures of Macroeconomic Uncertainty

Arbeitspapier

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 general 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 standard macroeconomic applications where uncertainty is supposed to matter. Uncertainty is positively correlated with the absolute value of the GDP-gap.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2007:14

Classification and Topics

• Classification: Wirtschaft ; Classification Discontinued 2008. See C83. ; Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
• Subject: Uncertainty ; Macroeconomics ; Survey Data ; Volkswirtschaft ; Unvollkommene Information ; Messung ; Aktienmarkt ; Volatilität ; VAR-Modell

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kjellberg, David ; Post, Erik
• Event: Veröffentlichung
• (who): Uppsala University, Department of Economics
• (where): Uppsala
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/82704
• URN: urn:nbn:se:uu:diva-10178
• Last update: 10.03.2025, 11:43 AM CET