Format:
1 Online-Ressource (circa 41 Seiten)
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ISBN:
9781484316597
Series Statement:
IMF working paper WP/17, 219
Content:
Motivated by the literature on the capital asset pricing model, we decompose the uncertainty of a typical forecaster into common and idiosyncratic uncertainty. Using individual survey data from the Consensus Forecasts over the period of 1989-2014, we develop monthly measures of macroeconomic uncertainty covering 45 countries and construct a measure of global uncertainty as the weighted average of country-specific uncertainties. Our measure captures perceived uncertainty of market participants and derives from two components that are shown to exhibit strikingly different behavior. Common uncertainty shocks produce the large and persistent negative response in real economic activity, whereas the contributions of idiosyncratic uncertainty shocks are negligible
Additional Edition:
Erscheint auch als Druck-Ausgabe Ozturk, Ezgi Measuring Global and Country-Specific Uncertainty Washington, D.C. : International Monetary Fund, 2017 ISBN 9781484316597
Language:
English
Keywords:
Arbeitspapier
;
Graue Literatur
DOI:
10.5089/9781484316597.001
URL:
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