Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/235093 
Year of Publication: 
2020
Series/Report no.: 
KOF Working Papers No. 479
Publisher: 
ETH Zurich, KOF Swiss Economic Institute, Zurich
Abstract: 
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.
Subjects: 
Uncertainty Shocks
Real-Time Data
Rational Forecast Error
Systemof National Accounts
Employment Protection Legislation
JEL: 
C51
C53
C82
E32
J8
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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