This paper examines the impact of uncertainty on estimated response of stock returns to U.S. monetary policy surprise … and the level of uncertainty in the economy. Using high frequency daily data from the Federal funds futures market, we … measures of uncertainty. Evidence suggests a significant negative relationship between the level of uncertainty and the time …

This paper aims an empirical investigation of uncertainty in the Euro Zone as well as the US. For this purpose I … conduct a factor analysis of uncertainty measures starting in 2001 until the end of 2011. I use survey-based data provided by … implied volatility of stock market movements. Each measure shows an increase in uncertainty during the last years marked by …

, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood … between risk and uncertainty is implemented by applying the multiple priors framework to beliefs about the probability of …

uncertainty may be the result. We quantify this degree of uncertainty by measuring and aggregating recent deviations of the … federal funds rate from econometric forecasts predicted by constant gain learning. We incorporate this measure of uncertainty … into a VAR model with ARCH shocks to measure the effect monetary policy uncertainty has on inflation, output growth …

This paper is an empirical investigation of uncertainty in the Euro Zone as well as the US. It conducts a factor … analysis of uncertainty measures starting in 2001 until the end of 2011. For this purpose I use survey-based data provided by … implied volatility of stock market movements. Each measure shows an increase in uncertainty during the last years marked by …

substantial literature adopting the Bayesian approach to parameter uncertainty has devel- oped which treats estimated model … of monetary policy. In contrast to the Bayesian approach, the Knightian response to uncertainty leads, in most cases, to …. We compare the Bayesian and Knightian (robust) approaches to model uncertainty. We show that in at least some …