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Measuring macroeconomic uncertainty: A historical perspective

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  • Shen, Yifan

Abstract

Using 100 years of data, we provide a new macroeconomic uncertainty proxy for the US and other 14 major industrial countries. We show macroeconomic uncertainty experiences an overall declining pattern in the century, and the influential political and economic events (two world wars and major recessions) are associated with a dramatic surge in macroeconomic uncertainty. Meanwhile, a global common component plays an important role in driving uncertainty fluctuations across countries.

Suggested Citation

  • Shen, Yifan, 2020. "Measuring macroeconomic uncertainty: A historical perspective," Economics Letters, Elsevier, vol. 196(C).
    • Handle: RePEc:eee:ecolet:v:196:y:2020:i:c:s0165176520303566
    DOI: 10.1016/j.econlet.2020.109592
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    References listed on IDEAS

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    Cited by:

    1. Josué Diwambuena & Jean-Paul K. Tsasa, 2021. "The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models," BEMPS - Bozen Economics & Management Paper Series BEMPS87, Faculty of Economics and Management at the Free University of Bozen.

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    More about this item

    Keywords

    Uncertainty shocks; Stochastic volatility; Uncertainty spillover;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • N10 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - General, International, or Comparative

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