What is Certain About Uncertainty?

73 Pages Posted: 7 Aug 2020

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

John H. Rogers

Board of Governors of the Federal Reserve System - Trade and Financial Studies Section

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; European University Institute

Sai Ma

Board of Governors of the Federal Reserve

Marius Rodriguez

Board of Governors of the Federal Reserve System

Ilknur Zer

Board of Governors of the Federal Reserve System

Date Written: July 1, 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.

JEL Classification: E60, G10, G15

Suggested Citation

Cascaldi-Garcia, Danilo and Sarisoy, Cisil and Londono-Yarce, Juan-Miguel and Rogers, John H. and Datta, Deepa and R.T. Ferreira, Thiago and Grishchenko, Olesya V. and Jahan-Parvar, Mohammad R. and Loria, Francesca and Ma, Sai and Rodriguez, Marius and Zer, Ilknur, What is Certain About Uncertainty? (July 1, 2020). FRB 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

John H. Rogers

Board of Governors of the Federal Reserve System - Trade and Financial Studies Section ( email )

20th St. and Constitution Ave.
Washington, DC 20551
United States
202-452-2873 (Phone)
202-736-5638 (Fax)

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 R. 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

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

European University Institute ( email )

Villa Schifanoia
133 via Bocaccio
Firenze (Florence), Tuscany 50014
Italy

Sai Ma

Board of Governors of the Federal Reserve ( email )

20th St. and Constitution Ave.
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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