Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/59005
Authors: 
Sauter, Oliver
Year of Publication: 
2012
Series/Report no.: 
FZID Discussion Papers 47-2012
Abstract: 
This 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.
Subjects: 
monetary policy
uncertainty
survey forecast
forecast disagreement
factor analysis
JEL: 
C1
E3
E5
E6
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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