Measuring macroeconomic uncertainty: A historical perspective

摘要

Using 100 years of data, we provide a new macroeconomic uncertainty proxy for the US and other 14 major industrial countries. We show macroeconomic uncertainty experiences an overall declining pattern in the century, and the influential political and economic events (two world wars and major recessions) are associated with a dramatic surge in macroeconomic uncertainty. Meanwhile, a global common component plays an important role in driving uncertainty fluctuations across countries. (c) 2020 Elsevier B.V. All rights reserved.