Measuring Global and Country-Specific Uncertainty

Measuring Global and Country-Specific Uncertainty
Motivated by the literature on the capital asset pricing model, we decompose the uncertainty of a typical forecaster into common and idiosyncratic uncertainty. Using individual survey data from the Consensus Forecasts over the period of 1989-2014, we develop monthly measures of macroeconomic uncertainty covering 45 countries and construct a... READ MORE...

Publication date: October 2017
ISBN 9781484316597
$18.00

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