Measuring macroeconomic uncertainty: A cross-country analysis

Autor: Samad Sarferaz, Andreas Dibiasi
Přispěvatelé: Aix-Marseille Sciences Economiques (AMSE), École des hautes études en sciences sociales (EHESS)-Aix Marseille Université (AMU)-École Centrale de Marseille (ECM)-Centre National de la Recherche Scientifique (CNRS), KOF Swiss Economic Institute, ANR-20-CE26-0013,DEMUR,Prise de décision en période d'incertitude(2020), ANR-17-EURE-0020,AMSE (EUR),Aix-Marseille School of Economics(2017), ANR-11-IDEX-0001,Amidex,INITIATIVE D'EXCELLENCE AIX MARSEILLE UNIVERSITE(2011)
Rok vydání: 2023
Předmět:
JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C51 - Model Construction and Estimation
JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C53 - Forecasting and Prediction Methods • Simulation Methods
Economics and Econometrics
Cross country
Employment protection legislation
JEL: E - Macroeconomics and Monetary Economics/E.E3 - Prices
Business Fluctuations
and Cycles/E.E3.E32 - Business Fluctuations • Cycles
JEL: C - Mathematical and Quantitative Methods/C.C8 - Data Collection and Data Estimation Methodology • Computer Programs/C.C8.C82 - Methodology for Collecting
Estimating
and Organizing Macroeconomic Data • Data Access
Uncertainty shocks Real-time data
Real-time data
National accounts
JEL: J - Labor and Demographic Economics/J.J8 - Labor Standards: National and International
Perspective (graphical)
[SHS.ECO]Humanities and Social Sciences/Economics and Finance
Uncertainty Shocks
Rational forecast error
Econometrics
Economics
Dimension (data warehouse)
System of national accounts
Finance
Communication channel
Zdroj: European Economic Review
European Economic Review, 2023, 153, pp.104383. ⟨10.1016/j.euroecorev.2023.104383⟩
European Economic Review, 153
ISSN: 0014-2921
1873-572X
DOI: 10.1016/j.euroecorev.2023.104383
Popis: 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.
European Economic Review, 153
ISSN:0014-2921
ISSN:1873-572X
Databáze: OpenAIRE
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