Working Paper
Measuring International Uncertainty : The Case of Korea
Abstract: We leverage a data rich environment to construct and study a measure of macroeconomic uncertainty for the Korean economy. We provide several stylized facts about uncertainty in Korea from 1991M10-2016M5. We compare and contrast this measure of uncertainty with two other popular uncertainty proxies, financial and policy uncertainty proxies, as well as the U.S. measure constructed by Jurado et. al. (2015).
Keywords: Business cycle; Data rich environment; Korean economy; Stochastic volatility; Uncertainty;
JEL Classification: C11; C32; E32;
https://doi.org/10.17016/FEDS.2017.066
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Bibliographic Information
Provider: Board of Governors of the Federal Reserve System (U.S.)
Part of Series: Finance and Economics Discussion Series
Publication Date: 2017-06-20
Number: 2017-066
Pages: 25 pages