Number of pages: 45Posted: 07 Aug 2020Last Revised: 08 Mar 2022
What is Certain About Uncertainty?
Journal of Economic Literature, Forthcoming
Number of pages: 45Posted: 02 Aug 2021
You are currently viewing this paper
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.
Cascaldi-Garcia, Danilo 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 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