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The Foster-Hart measure of riskiness for general gambles : conference paper
Riedel, Frank; Hellmann, Tobias - 2013
riskiness to continuous random variables. For many continuous random variables, the risk measure is equal to the worst-case risk … measure, i.e. the maximal possible loss incurred by that gamble. We also extend the Foster-Hart risk measure to dynamic …
Persistent link: https://www.econbiz.de/10010342818
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Measuring Global Macroeconomic Uncertainty
Moramarco, Graziano - 2021
This paper provides a new index of global macroeconomic uncertainty and investigates the cross-country transmission of uncertainty using a global vector autoregressive (GVAR) model. The index measures the dispersion of forecasts resulting from parameter uncertainty in the GVAR. Over the period...
Persistent link: https://www.econbiz.de/10013226308
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Measuring Global Macroeconomic Uncertainty
Moramarco, Graziano - 2020
This paper provides new indices of global macroeconomic uncertainty and investigates the cross-country transmission of uncertainty using a global vector autoregressive (GVAR) model. The indices measure the dispersion of forecasts that results from parameter uncertainty in the GVAR. Relying on...
Persistent link: https://www.econbiz.de/10012831182
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Measuring knightian uncertainty
Dibiasi, Andreas; Iselin, David - 2019
Uncertainty shapes the trajectory of business cycles and remains a central research topic in Macroeconomics. When studying the impact of uncertainty on the economy, economists use different uncertainty measures. While all indicators approximate uncertainty along some certain dimension, none of...
Persistent link: https://www.econbiz.de/10012005167
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Uncertainty, perception and the Internet
Bontempi, Maria Elena; Frigeri, Michele; Golinelli, Roberto - 2019
Macroeconomic uncertainty consists of three components: the unobservable, the heterogeneous and the "uncertain". We are unaware of exactly when economic agents perceive uncertainty and which type of uncertainty interests them. This paper introduces and outlines a way of conducting large-scale...
Persistent link: https://www.econbiz.de/10012110400
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Measuring geopolitical risk
Caldara, Dario; Iacoviello, Matteo - 2018
We present a monthly indicator of geopolitical risk based on a tally of newspaper articles covering geopolitical … tensions, and examine its evolution and effects since 1985. The geopolitical risk (GPR) index spikes around the Gulf War, after … geopolitical risk leads to a decline in real activity, lower stock returns, and movements in capital flows away from emerging …
Persistent link: https://www.econbiz.de/10011854666
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A new index of uncertainty based on internet searches : a friend or foe of other indicators?
Bontempi, Maria Elena; Golinelli, Roberto; Squadrani, Matteo - 2016 - This version: March, 8th 2016
The preliminary evidence in the literature suggests that changes in uncertainty have a role in shaping the U.S. economic cycle. But what is effectively measured by the different available indicators of uncertainty still remains an "uncertain" issue. This paper has two aims: (i) to introduce a...
Persistent link: https://www.econbiz.de/10011705516
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Measuring global macroeconomic uncertainty
Moramarco, Graziano - 2020
This paper provides new indices of global macroeconomic uncertainty and investigates the cross-country transmission of uncertainty using a global vector autoregressive (GVAR) model. The indices measure the dispersion of forecasts that results from parameter uncertainty in the GVAR. Relying on...
Persistent link: https://www.econbiz.de/10012233069
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Measuring Knightian Uncertainty
Dibiasi, Andreas - 2020
Knightian Uncertainty represents a situation in which it is no longer possible to form expectations about future events. We propose the first method to directly measure Knightian Uncertainty. Our approach relies on firm-level data and measures the share of firms that are not able to formalize...
Persistent link: https://www.econbiz.de/10012849172
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Measuring Economic Uncertainty in China
Pan, Wei-Fong - 2019
characteristics of China into consideration, which turns out to be aptly reflecting historical risk events. Based on the constructed …
Persistent link: https://www.econbiz.de/10012864130