A0684
Title: Measuring regional economic uncertainty
Authors: Jouchi Nakajima - Hitotsubashi University (Japan) [presenting]
Abstract: An econometric framework is proposed for measuring the time-varying uncertainty of regional economic activity. A dynamic factor model with stochastic volatility is exploited to forecast the regional economic activity, and the uncertainty is defined as the conditional volatility of forecasted errors in the model. The framework is illustrated using Japan's regional economic data. We provide its application to climate-change analysis and show that irregular climate events significantly impact the uncertainty of economic activity.
