This review article tries to answer four questions: (i) what are the stylized facts about uncertainty over time; (ii …) why does uncertainty vary; (iii) do fluctuations in uncertainty matter; and (iv) did higher uncertainty worsen the Great … Recession of 2007-2009? On the first question both macro and micro uncertainty appears to rise sharply in recessions. On the …

This review article tries to answer four questions: (i) what are the stylized facts about uncertainty over time; (ii …) why does uncertainty vary; (iii) do fluctuations in uncertainty matter; and (iv) did higher uncertainty worsen the Great … Recession of 2007-2009? On the first question both macro and micro uncertainty appears to rise sharply in recessions. On the …

Many commentators argue that uncertainty about tax, spending, monetary and regulatory policy slowed the recovery from … the 2007-2009 recession. To investigate this we develop a new index of economic policy uncertainty (EPU), built on three … components: the frequency of newspaper references to economic policy uncertainty, the number of federal tax code provisions set …

forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

We study the trading behavior of short sellers in the presence of economic policy uncertainty (EPU). Daily short … interest under high political uncertainty is from shorting stocks characterized by higher mispricing, greater policy …

This paper studies the relation between the uncertainty of volatility, measured as the volatility of volatility, and … future delta-hedged equity option returns. We find that delta-hedged option returns consistently decrease in uncertainty of … option dealers charge a higher premium for single-name options with high uncertainty of volatility, because these stock …

We investigate the effects of economic uncertainty on the return volatility of financial assets, including equities …, bonds, foreign exchange and commodities. We use several popular measures of economic uncertainty, and find the uncertainty … displays significant but heterogeneous effect on financial volatility. Economic uncertainty constructed in a data rich …

Theory as well as empirics suggest that both the level and the volatility of uncertainty impact important economic … variables. There is a need to extend models of uncertainty to the volatility of uncertainty. We analyse the dynamics of the … Economic Policy Uncertainty index developed by (Baker et al., 2016) and show that for four major economies in Europe – France …

We consider several economic uncertainty indicators for the United States and the UK before and during the COVID-19 … pandemic: implied stock market volatility, newspaper-based economic policy uncertainty, twitter chatter about economic … uncertainty, subjective uncertainty about future business growth, and disagreement among professional forecasters about future …