Journal of Economic Literature Vol. 61 No. 2 2023

What is Certain about Uncertainty?

Danilo Cascaldi-Garcia¹; Cisil Sarisoy¹; Juan M. Londono¹; Bo Sun²; Deepa D. Datta¹; Thiago R.T. Ferreira¹; Olesya Grishchenko¹; Mohammad R. Jahan-Parvar¹; Francesca Loria¹; Sai Ma¹; Marius Rodriguez¹; Ilknur Zer¹; John H. Rogers³

¹ Board of Governors of the Federal Reserve System , · ² Darden School of Business, the University of Virginia · ³ Fanhai International School of Finance, Fudan University ,

Abstract

This paper provides a comprehensive survey of existing measures of uncertainty, risk, and volatility, noting their conceptual distinctions. It summarizes how they are constructed, their relative advantages in usage, and their effects on financial market and economic outcomes. The measures are divided into four categories based on the construction methodology: news-based, survey-based, econometric-based, and market-based measures. While heightened uncertainty is typically associated with negative real and financial outcomes, the magnitude of these effects and the interpretation of transmission channels crucially depend on identification considerations.

DOI

10.1257/jel.20211645

Volume

61

Issue

2

Pages

624-654

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

APA 7 MLA 9 Chicago (author–date) Harvard Elsevier Harvard (JFE, JBF…) The Accounting Review Academy of Management American Marketing Association INFORMS (Management Science) Copy citation Copied ✓