Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103134
Authors: 
Henzel, Steffen
Rengel, Malte
Year of Publication: 
2014
Series/Report no.: 
CESifo Working Paper 4991
Abstract: 
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.
Subjects: 
macroeconomic uncertainty
factor model
aggregate fluctuations
JEL: 
C32
C38
E32
Document Type: 
Working Paper

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