Uncertainty and the Macroeconomy: Evidence from an uncertainty composite indicator *

Abstract : This paper proposes a uncertainty composite indicator (UCI) based on three distinct sources of uncertainty (namely financial, political, and macroeconomic) for the US economy on the period 1985-2015. For that, we use the dynamic fac- tor model proposed by Doz et al. (2012), summarizing effciently six individual uncertainty proxies, namely two macroeconomic and financial uncertainty factors based on the unpredictability, a measure of (micro)economic uncertainty, the im- plied volatility index, the corporate bond spreads, and an index of economic policy uncertainty. We then compare the effects of uncertainty on economic activity when the UCI is used instead of individual uncertainty proxies in structural VAR models. The interest of our UCI is to synthesize theses effects within one measure of uncer- tainty. Overall, the UCI was able to account for the most important dynamics of uncertainty which play an important role in business cycles.
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Applied Economics, Taylor & Francis (Routledge), 2017
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Soumis le : mercredi 28 juin 2017 - 21:14:45
Dernière modification le : jeudi 6 juillet 2017 - 01:10:10

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Amélie Charles, Olivier Darné, Fabien Tripier. Uncertainty and the Macroeconomy: Evidence from an uncertainty composite indicator *. Applied Economics, Taylor & Francis (Routledge), 2017. <hal-01549625>

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