A1456
Title: A new macroeconomic uncertainty index for the euro area countries
Authors: Pascal Goemans - University of Hagen (Germany) [presenting]
Abstract: The literature on economic uncertainty strongly focuses on the United States, such that there is a lack of uncertainty measures for the euro area countries that are available for a long time period. The measures available are often based on text data and specific categories of uncertainty like the economic policy or world uncertainty indices. In contrast, a new database is built, similar to the FRED-MD database, to provide direct econometric estimates of macroeconomic uncertainty based on the conditional volatility of the unforecastable component in many economic variables. In the second step, this measure is used to analyze commonalities and spillovers of macroeconomic uncertainty across the euro area members. The relationship is also analyzed between the economic cycle and uncertainty in the euro area, and compare the macroeconomic uncertainty index to existing uncertainty proxies.
