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