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Title: Measuring Uncertainty in the Stock Market [WP]
Author: Chuliá Soler, Helena
Guillén, Montserrat
Uribe, Jorge M.
Keywords: Incertesa
Càlcul de variacions
Calculus of variations
Issue Date: 2015
Publisher: Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
Series/Report no: [WP E-IR15/024]
Abstract: We propose a daily index of time-varying stock market uncertainty. The index is constructed after first removing the common variations in the series, based on recent advances in the literature that emphasize the difference between risk (expected variation) and uncertainty (unexpected variation). To this end, we draw on data from 25 portfolios between 1926 and 2014, sorted by size and book-to-market value. This strategy considerably reduces information requirements and modeling design costs, compared to previous proposals. We compare our index with indicators of macrouncertainty and estimate the impact of an uncertainty shock on the dynamics of variables such as production, employment, consumption, stock market prices and interest rates. Our results show that, even when the estimates can be considered as a measure of stock market uncertainty (i.e., financial uncertainty), they perform very well as indicators of the uncertainty of the economy as a whole.
Note: Reproducció del document publicat a:
It is part of: IREA – Working Papers, 2015, IR15/24
ISSN: 2014-1254
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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