Buying and selling of the credit derivative index is comparable to buying and selling portfolios of corporate We find that, since 2008, economic policy uncertainty in the United States has been at a level approximately two times its long run average. Uncertainty around the current state of the economy and its future outlook plays an important role in determining the evolution of macroeconomic outcomes. In ation uncertainty varies more in the cross section than over time, so a major bene t of this new measure is its cross-sectional dimension PDF/X-1:2001 uuid:036cf0db-afa0-4976-88c0-a16c1b5dd1c2 The uncertainty index is a leading indicator of a recession. newspaper-based index of Economic Policy Uncertainty from Baker et al. Last February’s sudden spike in the VIX, the implied volatility index of the S&P500, reminded investors of the unforeseeable and potentially severe nature of market shocks. This index measures the conditional volatility in an exhaustive set of macroeconomic time series. Factor Analysis Data: For large data set 1964:1-2007:12 used to construct factors and programs files used in Handbook of Empirical Economics and Finance article, "A Factor Analysis of Bond Risk Premia" with Serena Ng , click HERE . ation uncertainty is countercyclical and positively correlated with in ation disagreement, in ation volatility, and the Economic Policy Uncertainty Index. This paper develops a new index of economic uncertainty for South Africa for the period 1990–2014. The search for an adequate assessment of the sensitivity of the firm to changes in its macroeconomic environment has not been placed on the corporate agenda until recently. The results also suggest that the news -based economic policy uncertainty index, which is widely used in developed countries has not properly captured the state of economic uncertainty in India. Figure 2 shows the relationship between the CAPE ratio and the macroeconomic uncertainty index. An unanticipated increase in the index is associated with a fall in GDP, investment, industrial production and private sector employment. A measure, or index, of macroeconomic uncertainty can then be 2 Abraham and Katz (1986) also suggested that cross-section variation in employment could vary over the busi-ness cycle because of heterogeneity across firms. PDF/X-1:2001 Contrary to evidence for the U.S.A and U.K., Further, the empirical results show that the effects of uncertainty shocks to different domestic variables are consistent with the supply side of the real-option channel, the demand side of the investment channel, and the precautionary channel. Adobe PDF Library 15.0 Adobe InDesign CC 2015 (Windows) macroeconomic uncertainty index for the Turkish economy by using a simpler and more effective approach. Economic policy uncertainty index The period of uncertainty (after the economic shock or fear of occurrence of the event), rather than the occurrence of the event itself, can have a substantial impact on various economic variables by altering the decision-making behaviour of individuals at a macro or a micro level. A measure, or index, of macroeconomic uncertainty can then be 2 Abraham and Katz (1986) also suggested that cross-section variation in employment could vary over the busi-ness cycle because of heterogeneity across firms. As the economy heads into a recession, the uncertainty index starts rising. dependent dynamics conditional on the level of the uncertainty measure. Figure 1 shows that the COVID-19 shock increased the VIX by about 500% from 15 January 2020 to 31 March 2020. We extend our approach to other countries, finding elevated levels of economic policy uncertainty abroad, as well. Finally, Baker et al. We adopt their method and construct a corresponding index for Germany.3 JLN start from the premise that 1 This article is an updated and shortened version of Grimme and Stöckli (2017). Uncertainty data data and large dataset used in "Measuring Uncertainty" 1960:07-2011:12 click HERE. (2016). 3 Macroeconomic Uncertainty with Pooled Forecasts An alternative way to construct a macroeconomic uncertainty index is by using parametric models. The results also suggest that the news -based economic policy uncertainty index, which is widely used in developed countries has not properly captured the state of economic uncertainty in India. H��W]��}�_Q����֭�!�Vv@�`�?��Zkb}�� ��sNU�L��{vnFƬ��ӧ����:��67y��o����jb[��ՙ/�7���>�����?������֙�on��������G#�wg����Ɉ��v1�8[sl&�lc���}�|�����&X���������q�ݯ�������w�ߗ��� 1��(�:�dH ���TQv*�P���T�����>x�I����W�j��V�b�. examination of how uncertainty affects macroeconomic activity from an emerging economy perspective. We develop a new method to measure economic policy uncertainty and test its dynamic relationship with output, investment, and employment. The index is constructed from three sources: (1) Disagreement among professional forecasters, (2) a count of international and local newspaper articles discussing economic uncertainty in South Africa and (3) mentions of uncertainty in the quarterly economic … The macroeconomic uncertainty index moves in the same direction as other measures of uncertainty that directly gauge stock market volatility. This paper examines the macroeconomic effects of rising migration uncertainty in four advanced economies (i.e. Subscribe to ADB's Newsletter, e-Alerts and RSS feeds. There are several different measures of macroeconomic uncertainty series in the empirical literature. Sannikov (2006) find increases in uncertainty result in agency problems which reduce the value of employment. Economic Policy Uncertainty Index: Categorical Index: Sovereign debt, currency crises Index, Monthly, Not Seasonally Adjusted Jan 1985 to Oct 2020 (Nov 2) Equity Market Volatility Tracker: Macroeconomic News and Outlook: Inflation Sannikov (2006) find increases in uncertainty result in agency problems which reduce the value of employment. their macroeconomic e⁄ects, it is unclear how exactly they are related to each other or whether the di⁄erence in their macroeconomic e⁄ects depends on the type of uncertainty they measure. Thus, whether uncertainty is an upside or a downside one is relevant for understanding its macroeconomic impact. Many managers simply take the numbers produced by accounting systems as facts. Request PDF | Macroeconomic Uncertainty, Risk, and Country Index Returns: International Evidence | This paper investigates the relation between uncertainty and stock index returns for 15 countries. We adopt their method and construct a corresponding index for Germany.3 JLN start from the premise that 1 This article is an updated and shortened version of Grimme and Stöckli (2017). Macroeconomic uncertainty: what is it, how can we measure it and why does it matter? This index is derived from a small structural macroeconomic model. Brunei, Indonesia, Malaysia, Philippines East ASEAN Growth Area (BIMP-EAGA), Central Asia Regional Economic Cooperation (CAREC) Program, Indonesia, Malaysia, Thailand Growth Triangle (IMT-GT), South Asia Subregional Economic Cooperation (SASEC), Civil Society/Non-government Organizations, Rebalancing Subsidies in Market-Based Energy Sectors: Synergies and Obstacles in Developing and Transition Economies, A Preliminary Evaluation of Marinized Offshore Charging Stations for Future Electric Ships, Indonesia’s Financial Markets and Monetary Policy Dynamics Amid the Covid-19 Pandemic, Information and Communications Technology. On the contrary, the Economic Surprise Index (ii), barely reacts to the events and exhibits limited performance in explaining business cycles. Each national EPU index reflects the relative frequency of own-country newspaper articles that contain a trio of terms pertaining to the economy, uncertainty and policy-related matters. 424.indd Quarterly Bulletin 2013 Q2. In this study, we aim to build a model for measuring the macroeconomic uncertainty based on the … This chapter summarizes the different elements of Macroeconomic Uncertainty Strategy (MUST) analysis. This paper attempts to study uncertainty in a uni–ed framework. Many managers simply take the numbers produced by accounting systems as facts. These findings provide a holistic examination of how uncertainty affects macroeconomic activity from an emerging economy perspective. For example, Figure 5 shows the flow of capital from emerging market equities to gold during the 2007-2009 global recession. The Macroeconomic Uncertainty Index (i), responds to various events and shows a significant relationship with investment and durable consumption. estimated parameter eta is computed as the average magnitude of VIX for each uncertainty index. Terms of Use, Kasumigaseki Building 8F, 3-2-5, Kasumigaseki, Chiyoda-ku, Tokyo 100-6008, Japan. types of uncertainty are likely to affect individual sectors of the economy differently and also have different degrees of persistence. The red line is a broader macro-financial uncertainty index, application/pdf converted The speculative-grade CDX index is a tradable credit derivative index used widely by investors for hedging of and investing in corporate credit risk. This paper develops a macroeconomic uncertainty index based on the methodology proposed by Jurado, Ludvigson, and Ng (2015).Our approach streamlines the computation of the macroeconomic uncertainty index by using a state-space model that allows us to obtain the unforecastable component of the macroeconomic variables used to construct the index and the latent factors. Economic Policy Uncertainty Index: Categorical Index: Sovereign debt, currency crises Index, Monthly, Not Seasonally Adjusted Jan 1985 to Oct 2020 (Nov 2) Equity Market Volatility Tracker: Macroeconomic News and Outlook: Inflation default 3 A concept that is often related to uncertainty is risk. We focus on simple averages of forecasts from linear, autoregressive distributed lag (ADL) models where the predictors are indicators of real economic activity, asset prices, wages, prices and money. xmp.did:daef2a74-edf2-4847-b2aa-333c3048bcf6 Macroeconomic index is quarterly average of the original monthly index. On the contrary, the Economic Surprise Index (ii), barely reacts to the events and exhibits limited performance in explaining business cycles. Uncertainty around the current state of the economy and its future outlook plays an important role in determining the evolution of macroeconomic outcomes. Subscriber Services - Subscribe to ADB's Newsletter, e-Alerts and RSS feeds. The IMF’s new World Uncertainty Index (WUI) captures uncertainty related to economic and political events in the near-term and long-term, and looks back 60 years. Published in volume 105, issue 5, pages 650-55 of American Economic Review, May 2015, Abstract: We propose new indices to measure macroeconomic uncertainty. 1 We use four di⁄erent uncertainty measures in our analysis: the macroeconomic uncertainty by Jurado, Lud-vigson and Ng (2015) (Macro Uncertainty), the VIX by Bloom (2009), the economic policy uncertainty by Baker, Bloom and Davis (2016) (Policy Uncertainty), and our measure, which is analogous to Baker et al. The index is particularly useful since it can be constructed for any country/variable for which point forecasts and realizations are available. 2016-10-21T11:44:12+02:00 (Immigration fears and policy uncertainty, 2015), and then by a novel Google … The index is constructed from three sources: (1) Disagreement among professional forecasters, (2) a count of international and local newspaper articles discussing economic uncertainty in South Africa and (3) mentions of uncertainty in the quarterly economic review of the South African … This index is derived from a small structural macroeconomic model. adobe:docid:indd:5750aa39-d2e3-11db-b477-eeb91356db4d 2The VIX index is a commonly used proxy for economic uncertainty (see Bloom, 2009). (2016) but on a This index is derived from a small structural macroeconomic model. 2The VIX index is a commonly used proxy for economic uncertainty (see Bloom, 2009). Adobe InDesign CC 2015 (Windows) proof:pdf The speculative-grade CDX index is a tradable credit derivative index used widely by investors for hedging of and investing in corporate credit risk. These findings provide a holistic examination of how uncertainty affects macroeconomic activity from an emerging economy perspective. The Macroeconomic Uncertainty Index (i), responds to various events and shows a significant relationship with investment and durable consumption. VIX/VXO in the US, which has been used for measuring uncertainty and its macroeconomic impact (see Bloom, 2009). Baker, Bloom and Davis (2016) propose a news-based measure, the European Economic Policy Uncertainty (EPU) index by searching for keywords associ-ated with uncertainty across a variety of relevant newspaper articles. In principle, one could rely on the conditional distribution, where the density of forecast errors \(f\left( e\right) \) is constructed based on all the forecast errors realized up to time t . At times of uncertainty, capital also tends to flow from riskier to safer asset classes. These findings provide a holistic examination of how uncertainty affects macroeconomic activity from an emerging economy perspective. So the nature of an uncertainty shock has an important bearing on how demand and supply prospects and, ultimately, the inflation outlook are affected. 3. We show the usefulness of the index in studying the heterogeneity of uncertainty across Euro Area countries as well as the spillover effects via a network approach. A common measure is to use the conditional volatility of any variable. About ADB, how we’re organized, transparency, Projects, publications, products and services, operational priorities, and development knowledge, Countries with operations and subregional programs, country planning documents, Careers, business opportunities, and investor relations, Assessing Macroeconomic Uncertainties for an Emerging Economy, Creative Commons Attribution-NonCommercial-NoDerivs 3.0 IGO License, Guidelines, toolkits, and other "how-to" development resources, Papers or presentations at ADB and development events, Documents produced by, or submitted to, the ADB Board of Directors, Describes funds and financing arrangements, Highlights of ADB's sector or thematic work, Magazines and journals exploring development issues, Brief topical policy issues, Country Fact sheets and statistics, Describes country operations or strategies in ADB members, Memoranda between ADB and other organizations. 2016-10-21T11:44:13+02:00 The relation between estimated parameter eta and market impact is also discussed in Section6.3. Each national EPU index reflects the relative frequency of own-country newspaper articles that contain a trio of terms pertaining to the economy, uncertainty and policy-related matters. As the economy heads into a recession, the uncertainty index starts rising. Diagrams in the right column show forecast uncertainty for PGDP Inflation and RGDP growth corresponding to the current and following year forecasts made at each survey. with several indices proposed in the literature, including: VXO as in Bloom (2009); Baker et al. Buying and selling of the credit derivative index is comparable to buying and selling portfolios of corporate RBI Working Paper Series No. 1 The uncertainty in the financial market, whether the US—China trade war will slow down the global economy or not, Federal Reserve Board (FRB) policy to increase the interest rates, or other similar macroeconomic events can have a crucial impact on the purchase or sale of financial assets. As the economy heads (2015) construct a U.S. macroeconomic uncertainty index from a large dataset of economic variables and find that high levels of macroeconomic uncertainty … In this article, an optimal macroeconomic uncertainty index is constructed for the Australian economy. The relation between estimated parameter eta and market impact is also discussed in Section6.3. (2015), JLN thereafter, propose a measure of macroeconomic uncertainty for the United States. To do so, we introduce a new measure of uncertainty that is based on forecast densities. There are several different measures of macroeconomic uncertainty series in the empirical literature. WORKING PAPER NO: 1124 A common measure is to use the conditional volatility of any variable. We focus on simple averages of forecasts from linear, autoregressive distributed lag (ADL) models where the predictors are indicators of real economic activity, asset prices, wages, prices and money. (2015), JLN thereafter, propose a measure of macroeconomic uncertainty for the United States. Jurado et al. The results also suggest that the news-based economic policy uncertainty index, which is widely used in developed countries has not properly captured the state of economic uncertainty in India. We estimate a series of VAR models using quarterly data to identify different uncertainty channels of aggregate demand and supply. Realized volatility can be calculated on short look-back windows to quickly reflect abrupt changes in economic circumstances. The VIX, a common proxy for financial uncertainty, does not adequately capture macroeconomic uncertainty—a separate entity with its own impacts on asset prices. estimated parameter eta is computed as the average magnitude of VIX for each uncertainty index. newspaper-based index of Economic Policy Uncertainty from Baker et al. Figure 2 shows the relationship between the CAPE ratio and the macroeconomic uncertainty index. The derived measures of uncertainty are higher around recessions and other structural changes like demonetization and GST implementation in India. xmp.id:4382e892-1bb4-5049-82d2-c21d1f7a8ef7 © 2020 Asian Development Bank Institute. Subscribe to our newsletter to get the latest news and find out about our upcoming events and job openings. The index is constructed by text-mining country reports from the Economist Intelligence Unit. Macroeconomic Effects of Uncertainty: A Big Data Analysis for India @ Nalin Priyaranjan and Bhanu Pratap Abstract * Uncertainty about the current state and near-term outlook of an economy as well as the likely course of future policy actions can prompt economic agents to alter their decisions to spend, … Press Release. This paper develops a macroeconomic uncertainty index based on the methodology proposed by Jurado, Ludvigson, and Ng (2015).Our approach streamlines the computation of the macroeconomic uncertainty index by using a state-space model that allows us to obtain the unforecastable component of the macroeconomic variables used to construct the index and the … The Volatility Index (iii), tends to rise when The policy uncertainty index is divided by 100. Finally, Baker et al. ation uncertainty is countercyclical and positively correlated with in ation disagreement, in ation volatility, and the Economic Policy Uncertainty Index. We show it as the blue line in the top right panel of Figure 1. 3 A concept that is often related to uncertainty is risk. Examples include the CBOW Volaitility Index (VIX), which reflects the forward-looking volatility implied by options on the S&P 500 index. In this period, the price of gold increased by 29%, while the MSCI Emerging Market Equity Index dropped by 63%. from application/x-indesign to application/pdf 3 Macroeconomic Uncertainty with Pooled Forecasts An alternative way to construct a macroeconomic uncertainty index is by using parametric models. 04. MEASURING MACROECONOMIC UNCERTAINTY Jurado et al. (2016), realized stock market volatility, realized stock market skewness as well as realized absolute negative stock returns. Consider for example the real uncertainty index con-structed by Jurado, Ludvigson, and Ng (2015). Introduction. The macroeconomic uncertainty index moves in the same direction as other measures of uncertainty that directly gauge stock market volatility. The data used in the study are quarterly and cover the period 2002-2014. This paper examines the association between macroeconomic uncertainty and audit fees. In this period, the price of gold increased by 29%, while the MSCI Emerging Market Equity Index … macroeconomic uncertainty index for the Turkish economy by using a simpler and more effective approach. The Volatility Index (iii), tends to rise when 1 We use four di⁄erent uncertainty measures in our analysis: the macroeconomic uncertainty by Jurado, Lud-vigson and Ng (2015) (Macro Uncertainty), the VIX by Bloom (2009), the economic policy uncertainty by Baker, Bloom and Davis (2016) (Policy Uncertainty), and our measure, which is analogous to Baker et al. The news-based economic policy uncertainty index, which is widely used in developed countries, has not properly captured the state of economic uncertainty in India. (2012) develop a policy-related uncertainty index and show that the increase in actual policy uncertainty between 2006 and 2011 could lead to as much as a 3.2 percent decline in GDP. Downloadable! Finally, to understand the effects of international spillover, we measured the impact of US uncertainty on domestic variables, and the results suggest that US uncertainty has much more impact than domestic uncertainty, suggesting a significant international spillover effect of uncertainty in India's economy. WORKING PAPER NO: 1124 Understanding the Sources of Macroeconomic Uncertainty The Uncertainty Index The measure of uncertainty is de ned as the average of the individual uncertainty measure across forecasters: u t+hjt (r) = 1 N XN s=1 u s;t+hjt (r) = 1 N XN s=1 E h x t+h (r) p s;t+hjt (r) 2 j=t t R i Similar to Lahiri & Sheng (2010), Zarnowitz & Lambros The results also suggest that the news-based economic policy uncertainty index, which is widely used in developed countries has not properly captured the state of economic uncertainty in India. MEASURING MACROECONOMIC UNCERTAINTY Jurado et al. endstream endobj 6 0 obj <> endobj 3 0 obj <> endobj 8 0 obj <> endobj 9 0 obj <> endobj 10 0 obj <> endobj 21 0 obj <>/ExtGState<>/Font<>/ProcSet[/PDF/Text/ImageC/ImageI]/Properties<>/XObject<>>>/TrimBox[0.0 0.0 481.89 680.315]/Type/Page>> endobj 22 0 obj <>/ExtGState<>/Font<>/ProcSet[/PDF/Text]/Properties<>/XObject<>>>/TrimBox[0.0 0.0 481.89 680.315]/Type/Page>> endobj 23 0 obj <>/ExtGState<>/Font<>/ProcSet[/PDF/Text]/Properties<>/XObject<>>>/TrimBox[0.0 0.0 481.89 680.315]/Type/Page>> endobj 24 0 obj <>/ExtGState<>/Font<>/ProcSet[/PDF/Text]/Properties<>/XObject<>>>/TrimBox[0.0 0.0 481.89 680.315]/Type/Page>> endobj 25 0 obj <>/ExtGState<>/Font<>/ProcSet[/PDF/Text]/Properties<>/XObject<>>>/TrimBox[0.0 0.0 481.89 680.315]/Type/Page>> endobj 26 0 obj <>/ExtGState<>/Font<>/ProcSet[/PDF/Text]/Properties<>/XObject<>>>/TrimBox[0.0 0.0 481.89 680.315]/Type/Page>> endobj 87 0 obj <>stream The GEPU Index is a GDP-weighted average of national EPU indices for 16 countries that account for two-thirds of global output. Since the seminal work of Bloom (2009), measuring aggregate macroeconomic uncertainty and examining its impacts on economies and financial markets have received increasing attention. The results also suggest that the news-based economic policy uncertainty index, which is widely used in developed countries has not properly captured the state of economic uncertainty in India. dependent dynamics conditional on the level of the uncertainty measure. Uncertainty data data and large dataset used in "Measuring Uncertainty" 1960:07-2011:12 click HERE. In ation uncertainty varies more in the cross section than over time, so a major bene t of this new measure is its cross-sectional dimension PDF/X-1a:2001 For example, Figure 5 shows the flow of capital from emerging market equities to gold during the 2007-2009 global recession. I find that the predictive power of macroeconomic uncertainty in the linear VAR is negligible. %PDF-1.3 %���� This chapter summarizes the different elements of Macroeconomic Uncertainty Strategy (MUST) analysis. 's (2014) macroeconomic At times of uncertainty, capital also tends to flow from riskier to safer asset classes. Request PDF | Macroeconomic Uncertainty, Risk, and Country Index Returns: International Evidence | This paper investigates the relation between uncertainty and stock index … The macroeconomic uncertainty index moves in the same direction as other measures of uncertainty that directly gauge stock market volatility. VIX/VXO in the US, which has been used for measuring uncertainty and its macroeconomic impact (see Bloom, 2009). This forward-looking measure starts in 1990 and is available daily in real time. (2016), realized stock market volatility, realized stock market skewness as well as realized absolute negative stock returns. The realised volatility of daily returns stretches back to th… Macroeconomic uncertainty aggravates the uncertainty of regional investment returns and, subsequently, forms a strong inhibitory effect on fixed asset investment and equipment renovation, which may further lead to a macroeconomic downturn and even serious recession. Baker, Bloom and Davis (2016) propose a news-based measure, the European Economic Policy Uncertainty (EPU) index by searching for keywords associ-ated with uncertainty across a variety of relevant newspaper articles. In this article, an optimal macroeconomic uncertainty index is constructed for the Australian economy. Taking the rst principal component of consumer con dence, stock market volatility and Economic Policy Uncertainty, we nd that 2 The daily version of this index reflects the frequency of newspaper articles with one or more terms about “economics,” “policy” and “uncertainty” in roughly 2,000 US newspapers. False 1 0 obj <>]/PageLabels 6 0 R/Pages 3 0 R/Type/Catalog/ViewerPreferences<>>> endobj 2 0 obj <>stream Downloadable! / 's (2013) policy uncertainty index, “BBD”; Jurado et al. Taking the rst principal component of consumer con dence, stock market volatility and Economic Policy Uncertainty… This paper develops a new index of economic uncertainty for South Africa for the period 1990–2014. I find that the predictive power of macroeconomic uncertainty in the linear VAR is negligible. In a finance context, risk is often measured by conditional adobe:docid:indd:5750aa39-d2e3-11db-b477-eeb91356db4d The indices measur... (May 2015) - We propose new indices to measure macroeconomic uncertainty. Migration uncertainty is first captured by the Migration Policy Uncertainty (MPUI) and the Migration Fear (MFI) news‐based indexes developed by Baker et al. US, UK, Germany and France). The structural model is first estimated using GMM to extract the parameter estimates, which are then used to initialise maximum likelihood techniques in order to obtain the optimal coefficient values for the … In this article, an optimal macroeconomic uncertainty index is constructed for the Australian economy. Further, We detail the macroeconomic uncertainty index analysis with historical macroeconomic events. The Asian Development Bank Institute was established in 1997 in Tokyo, Japan, to help build capacity, skills, and knowledge related to poverty reduction and other areas that support long-term growth and competitiveness in developing economies in Asia and the Pacific. Last February’s sudden spike in the VIX, the implied volatility index of the S&P500, reminded investors of the unforeseeable and potentially severe nature of market shocks. Such uncertainty indices can help strengthen policy simulation exercises to study the impact of low/high uncertainty scenarios and also improve near-term projection of macroeconomic … The structural model is first estimated using GMM to extract the parameter estimates, which are then used to initialise maximum likelihood techniques in order to obtain the optimal coefficient values … Factor Analysis Data: For large data set 1964:1-2007:12 used to construct factors and programs files used in Handbook of Empirical Economics and Finance article, "A Factor Analysis of Bond Risk Premia" with Serena Ng , click HERE . examination of how uncertainty affects macroeconomic activity from an emerging economy perspective. Examples include the Economic Policy Uncertainty (EPU) Indices of Baker et al. We construct the macroeconomic uncertainty indices for an emerging economy, India, and consider other macroeconomic uncertainty indices to evaluate their relative effectiveness in tracing the business cycles and finding out the transmission channels consistent with theory. This article explains how macroeconomic uncertainty matters 20 Figure 2 shows the relationship between the CAPE ratio and the macroeconomic uncertainty index. The data used in the study are quarterly and cover the period 2002-2014. Further, We detail the macroeconomic uncertainty index analysis with historical macroeconomic … The VIX, a common proxy for financial uncertainty, does not adequately capture macroeconomic uncertainty—a separate entity with its own impacts on asset prices. The GEPU Index is a GDP-weighted average of national EPU indices for 16 countries that account for two-thirds of global output. The search for an adequate assessment of the sensitivity of the firm to changes in its macroeconomic environment has not been placed on the corporate agenda until recently. (2016) but on a xmp.iid:391cd09c-c1a9-234c-bce3-cad915da19dc 2016-10-21T11:44:13+02:00 (2012) develop a policy-related uncertainty index and show that the increase in actual policy uncertainty between 2006 and 2011 could lead … 2016-10-21T11:44:12+02:00 1. In a finance context, risk is often measured by conditional