Measuring international uncertainty : the case of Korea

Minchul Shin, Boyuan Zhang, Molin Zhong, and Dong Jin Lee

We leverage a data rich environment to construct and study a measure of macroeconomic uncertainty for the Korean economy. We provide several stylized facts about uncertainty in Korea from 1991M10-2016M5. We compare and contrast this measure of uncertainty with two other popular uncertainty proxies, financial and policy uncertainty proxies, as well as the U.S. measure constructed by Jurado et. al. (2015)

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Year of publication:	April 20, 2017 ; This version: April 20, 2017
Authors:	Shin, Minchul ; Zhang, Boyuan ; Zhong, Molin ; Lee, Dong Jin
Publisher:	Washington, D.C. : Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board
Subject:	Business cycle \| Data rich environment \| Korean economy \| Stochastic volatility \| Uncertainty \| Südkorea \| South Korea \| Konjunktur \| Risiko \| Risk \| Volatilität \| Volatility

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Extent:	1 Online-Ressource (circa 25 Seiten) Illustrationen
Series:	Finance and economics discussion series. - Washington, DC : Board of Governors of the Federal Reserve System, ZDB-ID 2670319-1. - Vol. 2017, 066 FEDS Working Paper ; No. 2017-066
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Classification:	C11 - Bayesian Analysis ; C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011710042