June 2017

Measuring International Uncertainty: the Case of Korea

Minchul Shin, Boyuan Zhang, Molin Zhong, and Dong Jin Lee


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).

Accessible materials (.zip)

Keywords: Business cycle, Data rich environment, Korean economy, Stochastic volatility, Uncertainty

DOI: https://doi.org/10.17016/FEDS.2017.066

PDF: Full Paper

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Last Update: January 09, 2020