Board of Governors of the Federal Reserve System (US)
Finance and Economics Discussion Series
Measuring International Uncertainty : The Case of Korea
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).
Cite this item
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.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
Keywords: Business cycle ; Data rich environment ; Korean economy ; Stochastic volatility ; Uncertainty
This item with handle RePEc:fip:fedgfe:2017-66
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