Working Paper – Uncertainty and the Macroeconomy: Evidence from an Uncertainty Composite Indicator

This paper proposes an uncertainty composite indicator (UCI) based on three distinct sources of uncertainty (namely financial, political, and macroeconomic) for the US economy on the period 1985-2015. For that, we use the dynamic factor model proposed by Doz et al. (2012), summarizing efficiently six individual uncertainty proxies, namely two macroeconomic and financial uncertainty factors based on the unpredictability, a measure of ... [Lire la suite]