Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/194151
Authors: 
Glocker, Christian
Hölzl, Werner
Year of Publication: 
2019
Series/Report no.: 
WIFO Working Papers 576
Abstract: 
We introduce a novel measure of uncertainty that is based on a business survey in which firms are asked directly how certain or uncertain they are. So far the literature has tried to capture economic uncertainty indirectly by means of expectation errors or the extent of disagreement. Our direct measure of economic uncertainty has a decent contemporaneous correlation with various indirect measures, its informational content is though different. Across all uncertainty measures, shocks to uncertainty trigger effects in GDP of opposite sign, however, the indirect measures tend to significantly underestimate the effects on GDP and other macroeconomic aggregates.
Subjects: 
Uncertainty shocks
Aggregate fluctuations
Firm dispersion
Surveys of expectations
JEL: 
E32
E37
E44
C80
Document Type: 
Working Paper
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