Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82704
Authors: 
Kjellberg, David
Post, Erik
Year of Publication: 
2007
Series/Report no.: 
Working Paper, Department of Economics, Uppsala University 2007:14
Abstract: 
This paper takes a critical look at available proxies of uncertainty. Two questions are adressed: (i) How do we evaluate proxies given that subjective uncertainty is inherently unobservable? (ii) Is there such a thing as a general macroeconomic uncertainty? Using correlations, some narrative evidence and a factor analysis we find that disagreement and stock market volatility proxies seem to be valid measures of uncertainty whereas probability forecast measures are not. This result is reinforced when we use our proxies in standard macroeconomic applications where uncertainty is supposed to matter. Uncertainty is positively correlated with the absolute value of the GDP-gap.
Subjects: 
Uncertainty
Macroeconomics
Survey Data
JEL: 
C42
C82
Document Type: 
Working Paper

Files in This Item:
File
Size
622.16 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.