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Board of Governors of the Federal Reserve System (U.S.)
International Finance Discussion Papers
Taxonomy of Global Risk, Uncertainty, and Volatility Measures
Deepa Dhume Datta
Juan M. Londono
Bo Sun
Daniel O. Beltran
Thiago Revil T. Ferreira
Matteo Iacoviello
Mohammad Jahan-Parvar
Canlin Li
Marius del Giudice Rodriguez
John H. Rogers
Abstract

A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have been proposed in the literature, and these measures are frequently used by market participants, policy makers, and researchers in their analyses. However, risk and uncertainty measures differ across multiple dimensions, including the method of calculation, the underlying outcome (that is, the asset price or macroeconomic variable), and the horizon at which they are calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on internal and external academic research as well as ongoing monitoring conducted by the Federal Reserve Board’s economics divisions to catalog measures by method of data collection, computation, and subject. We first explore a set of non asset-marketbased measures of risk and uncertainty, including news-based and survey-based uncertainty measures of monetary policy and macroeconomic outcomes. We then turn to asset-market-based measures of risk uncertainty for equity prices, interest rates, currencies, oil prices, and inflation.


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Deepa Dhume Datta & Juan M. Londono & Bo Sun & Daniel O. Beltran & Thiago Revil T. Ferreira & Matteo Iacoviello & Mohammad Jahan-Parvar & Canlin Li & Marius del Giudice Rodriguez & John H. Rogers, Taxonomy of Global Risk, Uncertainty, and Volatility Measures, Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers 1216, 21 Nov 2017.
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Keywords: Risk ; Uncertainty ; Volatility ; Monetary policy ; Geopolitical risk ; Equities ; Interest rates ; Exchange rates ; Commodities ; Inflation ; Variance risk premium
DOI: 10.17016/IFDP.2017.1216
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