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The World Uncertainty Index
Hites Ahir
Nicholas Bloom
Davide Furceri
出版
SIEPR, Stanford Institute for Economic Policy Research
, 2018
URL
http://books.google.com.hk/books?id=YHCwzQEACAAJ&hl=&source=gbs_api
註釋
We construct a new index of uncertainty -- the World Uncertainty Index (WUI) -- for 143 individual countries on a quarterly basis from 1996 onwards. This is defined using the frequency of the word “uncertainty” in the quarterly Economist Intelligent Unit country reports. Globally, the Index spikes near the 9/11 attack, SARS outbreak, Gulf War II, Euro debt crisis, El Niño, European border crisis, UK Brexit vote and the 2016 US election. Uncertainty spikes tend to be more synchronized within advanced economies and between economies with tighter trade and financial linkages. The level of uncertainty is significantly higher in developing countries and is positively associated with economic policy uncertainty and stock market volatility, and negatively with GDP growth. In a panel vector autoregressive setting, we find that innovations in the WUI foreshadow significant declines in output.