We establish nonparametric identification in a class of so-called index models using a novel approach that relies on …

We construct a new index of uncertainty — the World Uncertainty Index (WUI) — for 143 individual countries on a … Intelligent Unit country reports. Globally, the Index spikes near the 9/11 attack, SARS outbreak, Gulf War II, Euro debt crisis … volatility, and negatively with GDP growth. In a panel vector autoregressive setting, we find that innovations in the WUI …