This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to quarterly post-WWII real-time data, we estimate macroeconomic...

This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to quarterly post-WWII real-time data, we estimate macroeconomic...

The aim of this study is to analyze the relationship between uncertainty and economic activity. For this purpose, we use a confidential firm level panel data set (Business Tendency Survey) from Turkey to form three uncertainty measures, namely total, idiosyncratic and aggregate uncertainty. In...

The Great Financial Crisis of 2007-09 and its aftermath have emphasised the need for a global approach when assessing financial stability risks. One difficulty is that the traditional apparatus, especially the System of National Accounts (SNA), relies on the criterion of residency to capture...

This paper examines the evolution of consumer uncertainty about unemployment one year after the irruption of the covid-19 pandemic in European countries. Since uncertainty is not directly observable, we use two alternative methods to directly approximate it. Both approaches are based on...

This paper aims to address the relatively limited attention given to the examination of exchange rate misalignment uncertainty in the specific context of South Africa. By specifically focusing on exchange rate misalignment uncertainty, this study fills a crucial gap in the literature and gains a...

We present an Uncertainty Perception Indicator (UPI) for Germany based on the dynamic topic modelling technique RollingLDA. In contrast to conventional LDA, where all data is processed in one go, the recursive structure of RollingLDA ensures that data is made available for modeling as soon as it...

Composite indicators are increasingly important in country comparisons and in policy making. At the same time, the robustness of the results obtained and in particular of the rankings and the conclusions obtained from the analysis it is usually accepted with doubts. In this sense our proposal is...

Motivated by multi-dimensional sources of systemic risk in the economy and the low frequency nature of the observed empirical proxies for some of these, we propose a two-stage learning procedure to construct one better high-frequency (i.e., daily) systemic risk factor. In the first stage, we use...

This paper constructs a novel measure of climate risk at the firm level by adopting a textual analysis method. The measure captures the share of conversations on earnings conference calls that center on climate- and weather-related keywords, allowing us not only to construct a total climate risk...