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dc.contributor.authorSauter, Oliveren_US
dc.date.accessioned2012-06-11en_US
dc.date.accessioned2012-06-15T15:13:33Z-
dc.date.available2012-06-15T15:13:33Z-
dc.date.issued2012en_US
dc.identifier.piurn:nbn:de:bsz:100-opus-7212en_US
dc.identifier.urihttp://hdl.handle.net/10419/59005-
dc.description.abstractThis paper aims an empirical investigation of uncertainty in the Euro Zone as well as the US. For this purpose I conduct a factor analysis of uncertainty measures starting in 2001 until the end of 2011. I use survey-based data provided by the ECB and the Federal Reserve Bank of Philadelphia as well as the stock market indices VSTOXX and VIX, both measures of implied volatility of stock market movements. Each measure shows an increase in uncertainty during the last years marked by the financial turmoil. Given the rise in uncertainty, the question arises whether this uncertainty is driven by the same underlying factors. For the Euro Zone, I show that uncertainty can be separated into factors of short and long-term uncertainty. In the US there is a sharp distinction between uncertainty that drives stock market and real variables on the one hand and inflation (short and long-term) on the other hand. Combining both data sets, factor analysis delivers (1) an international stock market factor, (2) a common European uncertainty factor and (3) an US-inflation uncertainty factor.en_US
dc.language.isoengen_US
dc.publisherUniv. Hohenheim, Forschungszentrum Innovation und Dienstleistung Stuttgarten_US
dc.relation.ispartofseriesFZID Discussion Papers 47-2012en_US
dc.subject.jelC1en_US
dc.subject.jelE3en_US
dc.subject.jelE5en_US
dc.subject.jelE6en_US
dc.subject.ddc330en_US
dc.subject.keywordmonetary policyen_US
dc.subject.keyworduncertaintyen_US
dc.subject.keywordsurvey forecasten_US
dc.subject.keywordforecast disagreementen_US
dc.subject.keywordfactor analysisen_US
dc.titleAssessing uncertainty in Europe and the US - Is there a common factor?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn717412792en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:fziddp:472012-
Appears in Collections:FZID Discussion Papers, Universität Hohenheim

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