What is Certain About Uncertainty?
Journal of Economic Literature, Forthcoming
45 Pages Posted: 2 Aug 2021
Date Written: July 27, 2021
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: Suggested Citation