What is Certain About Uncertainty?

Journal of Economic Literature, Forthcoming

45 Pages Posted: 2 Aug 2021

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; Board of Governors of the Federal Reserve System

Juan M. Londono

Board of Governors of the Federal Reserve System

John H. Rogers

Fudan University - Fanhai International School of Finance (FISF)

Bo Sun

Board of Governors of the Federal Reserve System

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 27, 2021

Abstract

This paper provides a comprehensive survey of existing measures of uncertainty, risk, and volatility, noting their conceptual distinctions. It summarizes how they are constructed, their relative advantages in usage, and their effects on financial market and economic outcomes. The measures are divided into four categories based on the construction methodology: news-based, survey-based, econometric-based, and market-based measures. While heightened uncertainty is typically associated with negative real and financial outcomes, the magnitude of these effects and the interpretation of transmission channels crucially depend on identification considerations.

Keywords: global risk, uncertainty, volatility, crises, economic policy, monetary policy, downside risk, transmission.

JEL Classification: E6, G1, G15

Suggested Citation

Cascaldi-Garcia, Danilo and Sarisoy, Cisil and Sarisoy, Cisil and Londono-Yarce, Juan-Miguel and Rogers, John H. and Sun, Bo 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 27, 2021). Journal of Economic Literature, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3894581 or http://dx.doi.org/10.2139/ssrn.3894581

Danilo Cascaldi-Garcia

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
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Cisil Sarisoy (Contact Author)

Board of Governors of the Federal Reserve System ( email )

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

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
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John H. Rogers

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

220 Handan Road
Shanghai, 200433
China

Bo Sun

Board of Governors of the Federal Reserve System ( email )

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

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 )

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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

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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