| Autor: |
Cascaldi-Garcia, Danilo, Sarisoy, Cisil, Londono, Juan M., Rogers, John, Datta, Deepa, Ferreira, Thiago, Grishchenko, Olesya, Jahan-Parvar, Mohammad R., Loria, Francesca, Sai Ma, Rodriguez, Marius, Zer, Ilknur |
| Předmět: |
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| Zdroj: |
Working Papers -- U.S. Federal Reserve Board's International Finance Discussion Papers; 2020, preceding p1-71, 72p |
| Abstrakt: |
Researchers, policymakers, and market participants have become increasingly focused on the effects of uncertainty and risk on financial market and economic outcomes. This paper provides a comprehensive survey of the many existing mea- sures of risk, uncertainty, and volatility. It summarizes what these measures cap- ture, how they are constructed, and their effects, paying particular attention to large uncertainty spikes, such as those appearing concurrently with the outbreak of COVID-19. The measures are divided into three types: (1) news-based, survey- based, and econometric; (2) asset market based; and (3) Knightian uncertainty. While uncertainty has significant real and financial effects and spills over across countries, the size and persistence of these effects depend crucially on the source of uncertainty. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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