Measuring Us Uncertainty

In this paper, we introduce a new US uncertainty index which is more sensitive to consumer spending and therefore reflects households’ decisions. We find evidence that macroeconomic uncertainty shocks impose negative, statistically significant, and long-lasting effects on consumption, income and financial wealth held by households. In contrast, housing wealth is not affected by uncertainty. Evidence suggests significant variation in housing wealth response to a rise of uncertainty emphasizing the heterogeneity among states. Possibly housing wealth is a key identifier of household heterogeneity