Prewar and Postwar Macroeconomic Uncertainty: An International Perspective
Posted: 27 Sep 2001
Time series on U.S. international macroeconomic variables from the prewar period are compared to postwar data to explore whether the uncertainty experienced by economic agents differs over the two historical time periods. Conditional time series measures of uncertainty reveal that shocks to the time series appear to raise the level of uncertainty more dramatically in the postwar period, but the series exhibit more persistence in volatility in the prewar period. We conclude that the nature of uncertainty differs in the prewar and postwar periods and that these differences are likely to have implications for the behavior of economic agents.
Suggested Citation: Suggested Citation