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Board of Governors of the Federal Reserve System (US)
Finance and Economics Discussion Series
Measuring International Uncertainty : The Case of Korea
Minchul Shin
Boyuan Zhang
Molin Zhong
Dong Jin Lee
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).


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Minchul Shin & Boyuan Zhang & Molin Zhong & Dong Jin Lee, Measuring International Uncertainty : The Case of Korea, Board of Governors of the Federal Reserve System (US), Finance and Economics Discussion Series 2017-066, 20 Jun 2017.
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Keywords: Business cycle ; Data rich environment ; Korean economy ; Stochastic volatility ; Uncertainty
DOI: 10.17016/FEDS.2017.066
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