Finance and Economics Discussion Series (FEDS)
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).
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Keywords: Business cycle, Data rich environment, Korean economy, Stochastic volatility, Uncertainty
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