Measuring Uncertainty for New Zealand Using Data‐Rich Approach

9 Pages Posted: 24 Mar 2020

See all articles by Trung Duc Tran

Trung Duc Tran

University of Melbourne - Department of Economics

Tugrul Vehbi

Bank of England

Benjamin Wong

Monash University - Department of Econometrics & Business Statistics

Date Written: September 2019

Abstract

This paper develops two state‐of‐the‐art uncertainty indices for New Zealand by exploiting two separate data‐rich environments. The first index follows the methodology outlined in Jurado, Ludvigson and Ng (2015) to construct an estimate of uncertainty based on a large New Zealand macro dataset. The second index is constructed based on freely accessible and real time Google Trends data to provide a real‐time and freely‐accessible measure of uncertainty as in Castelnuovo and Tran (2017) and Shields and Tran (2018). Both indices do a reasonable job measuring uncertainty in New Zealand. VAR evidence documents significant impacts of uncertainty shocks on GDP in New Zealand.

Suggested Citation

Tran, Trung Duc and Vehbi, Tugrul and Wong, Benjamin, Measuring Uncertainty for New Zealand Using Data‐Rich Approach (September 2019). Australian Economic Review, Vol. 52, Issue 3, pp. 344-352, 2019, Available at SSRN: https://ssrn.com/abstract=3557393 or http://dx.doi.org/10.1111/1467-8462.12339

Trung Duc Tran (Contact Author)

University of Melbourne - Department of Economics ( email )

Melbourne, 3010
Australia

Tugrul Vehbi

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Benjamin Wong

Monash University - Department of Econometrics & Business Statistics ( email )

Wellington Road
Clayton, Victoria 3168
Australia

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