Measuring Macroeconomic Uncertainty: The Labor Channel of Uncertainty from a Cross-Country Perspective

KOF Working Paper No. 479

56 Pages Posted: 9 Jul 2020 Last revised: 15 Jan 2021

See all articles by Andreas Dibiasi

Andreas Dibiasi

EURAC Research; ETH Zürich - KOF Swiss Economic Institute

Samad Sarferaz

ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich

Date Written: January 14, 2021

Abstract

This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to quarterly post-WWII real-time data, we estimate macroeconomic uncertainty for 39 countries. The cross-country dimension of our uncertainty data allows us to identify the effects of uncertainty shocks on economic activity under different employment protection legislation. Our empirical findings suggest that the effects of uncertainty shocks are stronger and more persistent in countries with low employment protection compared to countries with high employment protection. These empirical findings are in line with a theoretical model under varying firing cost.

Keywords: Uncertainty Shocks, Real-Time Data, Rational Forecast Error, System of National Accounts, Employment Protection Legislation

JEL Classification: C51, C53, C82, E32, J8

Suggested Citation

Dibiasi, Andreas and Sarferaz, Samad, Measuring Macroeconomic Uncertainty: The Labor Channel of Uncertainty from a Cross-Country Perspective (January 14, 2021). KOF Working Paper No. 479, Available at SSRN: https://ssrn.com/abstract=3628071 or http://dx.doi.org/10.2139/ssrn.3628071

Andreas Dibiasi (Contact Author)

EURAC Research ( email )

Viale Druso, 1
Drususallee 1
Bolzano / Bozen, 39100
Italy

ETH Zürich - KOF Swiss Economic Institute ( email )

Zurich
Switzerland

Samad Sarferaz

ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich ( email )

Zürichbergstrasse 18
Zurich, 8092
Switzerland

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