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Measuring macroeconomic uncertainty: A cross-country analysis

Author

Listed:
  • Andreas Dibiasi

    (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Samad Sarferaz

    (KOF Swiss Economic Institute)

Abstract

This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to post-WWII real-time data, we estimate macroeconomic uncertainty for 39 countries. The cross-country dimension of our uncertainty data allows us to study the impact of uncertainty shocks under varying degrees of employment protection legislation. Our empirical findings suggest that the effects of uncertainty shocks are stronger and more persistent in countries with low employment protection compared to countries with high employment protection. These empirical findings are in line with a theoretical model under varying firing cost.

Suggested Citation

  • Andreas Dibiasi & Samad Sarferaz, 2023. "Measuring macroeconomic uncertainty: A cross-country analysis," Post-Print hal-04167343, HAL.
    • Handle: RePEc:hal:journl:hal-04167343
    DOI: 10.1016/j.euroecorev.2023.104383
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    Cited by:

    1. Gnangnon, Sèna Kimm, 2023. "Effect of Economic Uncertainty on Remittances Flows from Developed Countries," EconStor Preprints 279480, ZBW - Leibniz Information Centre for Economics.

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