surge in the stock market would be self-correcting. Recent papers have discussed the role of "uncertainty" and its … measurement in influencing economic decisions. They attempt to measure uncertainty by indexes of volatility of the stock market …, GDP, forecaster disagreement, mentions of uncertainty in news media, and the dispersion of productivity shocks to firms …

This paper takes a critical look at available proxies of uncertainty. Two questions are adressed: (i) How do we … evaluate proxies given that subjective uncertainty is inherently unobservable? (ii) Is there such a thing as a general … macroeconomic uncertainty? Using correlations, some narrative evidence and a factor analysis we find that disagreement and stock …