We propose a decomposition to distinguish between Knightian uncertainty (ambiguity) and risk, where the first measures the uncertainty about the probability distribution generating the data, while the second measures uncertainty about the odds of the outcomes when the probability distribution is...

We investigate the link between macroeconomic uncertainty and business cycle asymmetry of the U.S. economy. To this end, we propose an unobserved component model in which the shocks are asymmetrically distributed, and the degree of asymmetry varies with macroeconomic uncertainty. An efficient...

We analyse the extent to which firm-level uncertainty is affected by aggregate uncertainty. Firm-level uncertainty is constructed from a large and monthly panel dataset of manufacturing firms. We find that aggregate uncertainty has a positive and robust impact on firm-level uncertainty. This...