What is Certain About Uncertainty?

45 Pages Posted: 7 Aug 2020 Last revised: 8 Mar 2022

See all articles by Danilo Cascaldi-Garcia

Danilo Cascaldi-Garcia

Board of Governors of the Federal Reserve System

Cisil Sarisoy

Board of Governors of the Federal Reserve System

Juan M. Londono

Board of Governors of the Federal Reserve System

Bo Sun

University of Virginia Darden School of Business

John H. Rogers

Fudan University - Fanhai International School of Finance (FISF)

Deepa Datta

Board of Governors of the Federal Reserve System

Thiago R.T. Ferreira

Board of Governors of the Federal Reserve System

Olesya V. Grishchenko

Board of Governors of the Federal Reserve System

Mohammad R. Jahan-Parvar

Board of Governors of the Federal Reserve System

Francesca Loria

Board of Governors of the Federal Reserve System

Sai Ma

Board of Governors of the Federal Reserve System

Marius Rodriguez

Board of Governors of the Federal Reserve System

Ilknur Zer

Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Date Written: July, 2020

Abstract

Researchers, policymakers, and market participants have become increasingly focused on the effects of uncertainty and risk on financial market and economic outcomes. This paper provides a comprehensive survey of the many existing measures of risk, uncertainty, and volatility. It summarizes what these measures capture, how they are constructed, and their effects, paying particular attention to large uncertainty spikes, such as those appearing concurrently with the outbreak of COVID-19. The measures are divided into three types: (1) news-based, survey- based, and econometric; (2) asset market based; and (3) Knightian uncertainty. While uncertainty has significant real and financial effects and spills over across countries, the size and persistence of these effects depend crucially on the source of uncertainty.

Keywords: global risks, Uncertainty, Volatility, Crises, Economic policy, Monetary policy, Geopolitical risk, Trade policy, Downside risk

JEL Classification: E60, G10, G15

Suggested Citation

Cascaldi-Garcia, Danilo and Sarisoy, Cisil and Londono-Yarce, Juan-Miguel and Sun, Bo and Rogers, John H. and Datta, Deepa and R.T. Ferreira, Thiago and Grishchenko, Olesya V. and Jahan-Parvar, Mohammad and Loria, Francesca and Ma, Sai and Rodriguez, Marius and Zer, Ilknur, What is Certain About Uncertainty? (July, 2020). International Finance Discussion Paper No. 1294, Available at SSRN: https://ssrn.com/abstract=3655847 or http://dx.doi.org/10.17016/IFDP.2020.1294

Danilo Cascaldi-Garcia (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Cisil Sarisoy

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Juan-Miguel Londono-Yarce

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Bo Sun

University of Virginia Darden School of Business ( email )

100 Darden Blvd
K, VA 22903
United States
8622453813 (Phone)

John H. Rogers

Fudan University - Fanhai International School of Finance (FISF) ( email )

220 Handan Road
Shanghai, 200433
China

Deepa Datta

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Thiago R.T. Ferreira

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Olesya V. Grishchenko

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States
202-452-2981 (Phone)

Mohammad Jahan-Parvar

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

HOME PAGE: http://sites.google.com/site/mrjahan/

Francesca Loria

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Sai Ma

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States
202-452-2870 (Phone)

HOME PAGE: http://saimaecon.com

Marius Rodriguez

Board of Governors of the Federal Reserve System ( email )

20th St. and Constitution Ave.
Washington, DC 20551
United States

Ilknur Zer

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

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