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Measuring Macroeconomic Uncertainty: A Cross-Country Analysis

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Abstract

This paper constructs internationally consistent measures of macroeconomic un- certainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to quarterly post-WWII real-time data, we estimate macroeconomic uncertainty for 39 coun- tries. The cross-country dimension of our uncertainty data allows us to identify the e ects of uncertainty shocks on economic activity under di erent employment pro- tection legislation. Our empirical ndings suggest that the e ects of uncertainty shocks are stronger and more persistent in countries with low employment pro- tection compared to countries with high employment protection. These empirical ndings are in line with a theoretical model under varying ring cost.

Suggested Citation

  • Samad Sarferaz & Andreas Dibiasi, 2020. "Measuring Macroeconomic Uncertainty: A Cross-Country Analysis," KOF Working papers 20-479, KOF Swiss Economic Institute, ETH Zurich.
    • Handle: RePEc:kof:wpskof:20-479
    DOI: 10.3929/ethz-b-000420180
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    Cited by:

    1. Efrem Castelnuovo, 2023. "Uncertainty before and during COVID‐19: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(3), pages 821-864, July.
    2. Gnangnon, Sèna Kimm, 2023. "Effect of Economic Uncertainty on Remittances Flows from Developed Countries," EconStor Preprints 279480, ZBW - Leibniz Information Centre for Economics.
    3. Oscar Claveria, 2021. "On the Aggregation of Survey-Based Economic Uncertainty Indicators Between Different Agents and Across Variables," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 1-26, April.
    4. Shen, Yifan & He, Jia & Shi, Xunpeng & Zeng, Ting, 2025. "Uncertainty, macroeconomic activity and commodity price: A global analysis," International Review of Financial Analysis, Elsevier, vol. 101(C).
    5. Andreas Dibiasi & David Iselin, 2021. "Measuring Knightian uncertainty," Empirical Economics, Springer, vol. 61(4), pages 2113-2141, October.
    6. Andreas Dibiasi & Heiner Mikosch & Samad Sarferaz, 2025. "Uncertainty Shocks, Adjustment Costs, and Firm Beliefs: Evidence from a Representative Survey," American Economic Journal: Macroeconomics, American Economic Association, vol. 17(3), pages 36-73, July.
    7. Giovanni Caggiano & Efrem Castelnuovo, 2021. "Global Uncertainty," CESifo Working Paper Series 8885, CESifo.
    8. Carlos Cañizares Martínez & Arne Gieseck, 2025. "The effects of macro uncertainty shocks in the euro area: a FAVAR approach," Empirical Economics, Springer, vol. 68(6), pages 2829-2872, June.
    9. Martin G. Kocher, 2025. "Measuring uncertainty preferences: what we know and what we need," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 50(2), pages 119-135, September.
    10. Konstantina Manou & Evangelia Papapetrou, 2025. "Does uncertainty matter for household consumption? A mean and a two tails approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 49(4), pages 909-941, December.
    11. Benjamin Baker & Murat Üngör, 2025. "Effects of Quantitative Easing on Economic Sentiment: Evidence from Three Large Economies," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 67(1), pages 50-83, March.
    12. Oscar Claveria, 2021. "Disagreement on expectations: firms versus consumers," SN Business & Economics, Springer, vol. 1(12), pages 1-23, December.
    13. Kamalyan, Hayk, 2022. "Data revisions and the effects of monetary policy volatility," Economics Letters, Elsevier, vol. 215(C).

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    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • J8 - Labor and Demographic Economics - - Labor Standards

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