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The world uncertainty index and GDP growth rate

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  • Liu, Na
  • Gao, Fumin

Abstract

Based on the content of the novel World Uncertainty Index (WUI), this paper examines whether the World Uncertainty Index has the predictability for the U.S. gross domestic product growth rate. Empirical results show that the information of WUI indices is able to predict GDP growth rate, especially the U.S. WUI indices such as USA WUI (frequency) and USA WUI (total number) indices. During the COVID-19 period, we find that all the WUI models can generate stronger forecasting ability for the GDP growth rate. Our paper tries to provide new evidence for predicting the GDP growth rate.

Suggested Citation

  • Liu, Na & Gao, Fumin, 2022. "The world uncertainty index and GDP growth rate," Finance Research Letters, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003609
    DOI: 10.1016/j.frl.2022.103137
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    Cited by:

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    2. Bouri, Elie & Gök, Remzi & Gemi̇ci̇, Eray & Kara, Erkan, 2024. "Do geopolitical risk, economic policy uncertainty, and oil implied volatility drive assets across quantiles and time-horizons?," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 137-154.

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