Replication data for: Measuring Uncertainty
- Jurado, Kyle
- Ludvigson, Sydney C.
- Ng, Serena
AbstractThis paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty. Our estimates display significant independent variations from popular uncertainty proxies, suggesting that much of the variation in the proxies is not driven by uncertainty. Quantitatively important uncertainty episodes appear far more infrequently than indicated by popular uncertainty proxies, but when they do occur, they are larger, more persistent, and are more correlated with real activity. Our estimates provide a benchmark to evaluate theories for which uncertainty shocks play a role in business cycles. (JEL C53, D81, E32, G12, G35, L25)
Is supplement to
DOI: 10.1257/aer.20131193 (Text)
Jurado, Kyle, Sydney C. Ludvigson, and Serena Ng. “Measuring Uncertainty.” American Economic Review 105, no. 3 (March 2015): 1177–1216. https://doi.org/10.1257/aer.20131193.
- ID: 10.1257/aer.20131193 (DOI)
Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12