The preliminary evidence in the literature suggests that changes in uncertainty have a role in shaping the U.S.udeconomic cycle. But what is effectively measured by the different available indicators of uncertainty stilludremains an "uncertain" issue. This paper has two aims: (i) to introduce a new uncertainty indicator (GT)udbased on Internet searches; and (ii) to compare the main features and the macroeconomic effects ofudalternative measures of uncertainty, including our own. Results suggest that GT shocks embody timelyudinformation about people's perception of uncertainty and, in some cases, earlier than other indexes.udFurthermore, the effect of uncertainty shocks on output is more influenced by parameter breaks due to insampleudevents than by model specification. The consequence is that an all-comprehensive indicator able toudweight different sources of uncertainty is preferable.
展开▼
