Uncertainty measures

This page provides macroeconomic and financial uncertainty measures calculated based on common factors over the volatility of U.S. macro and financial variables.

Data here!

1976Q2 to 2019Q3, updated in Feb/2020.

Uncertainty measures are the common factor of the stochastic volatility of 14 macro variables (macro uncertainty), and of 14 financial variables (financial uncertainty). Estimated through a stochastic volatility-in-mean Bayesian VAR, with quarterly data. Estimation procedure and data description here.

Please cite as:

Cascaldi-Garcia, D. (2020). Dynamic Effects of News Shocks Under Uncertainty. Tech.rep., Mimeo.

Macroeconomic uncertainty

Financial uncertainty

Dotted lines are 68% confidence bands computed with 200 posterior draws. Shaded areas are recession periods calculated by the NBER.