A Daily Measure of Economic Uncertainty
This paper constructs a daily economic uncertainty index to measure the uncertainty about the state of the economy. We use a variety of stock and flow data observed at mixed frequencies to construct the economic uncertainty index (including quarterly, monthly, weekly, and daily indicators), which allows the index to reflect changes in economic uncertainty at high frequency. Empirical analysis shows that the proposed economic uncertainty index can adequately capture major uncertainty-inducing events. A comparison with the economic uncertainty index constructed using only low-frequency variables shows that our economic uncertainty index captures changes in economic uncertainty in a more timely manner, especially during larger economic and financial shocks. In addition, we find that our economic uncertainty index contains useful forecasting information to help predict stock market volatility and that economic uncertainty increases stock market volatility
Year of publication: |
[2022]
|
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Authors: | Cao, Weiwei ; Zheng, Tingguo |
Publisher: |
[S.l.] : SSRN |
Saved in:
freely available
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