Measuring international uncertainty: the case of Korea

Keywords: Uncertainty, Stochastic volatility, Business cycle, Korean economy, Data rich environment.
  • 09 Agosto 2017

Por Minchul Shin, Boyuan Zhang, Molin Zhong y Dong Jin Lee.

Finance and Economics Discussion Series 2017-066.

Abstract:

We leverage a data rich environment to construct and study a measure of macroeconomic uncertainty for the Korean economy. We provide several stylized facts about uncertainty in Korea from 1991M10–2016M5. We compare and contrast this measure of uncertainty with two other popular uncertainty proxies, financial and policy uncertainty proxies, as well as the U.S. measure constructed by Jurado et al. (2015).