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On the different approaches of measuring uncertainty shocks

Strobel, Johannes (2015) On the different approaches of measuring uncertainty shocks. Economics Letters 134, pp. 69-72.

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Date of publication of this fulltext: 04 Aug 2015 08:21

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Abstract

As uncertainty has become an increasingly prominent source of business cycle fluctuations, various uncertainty proxies have been proposed in the literature. This paper shows that uncertainty measures based on realized variables fluctuate more than the measures that are based on forecasts. More precisely, the variation in the realized cross-sectional standard deviation of profit growth and stock ...

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Item type:Article
Date:2015
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Immobilienökonomie (Prof. Dr. Gabriel Lee)
Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienökonomie (Prof. Dr. Gabriel Lee)
Projects:DFG: LE 1545/1-1
Identification Number:
ValueType
10.1016/j.econlet.2015.06.012DOI
Classification:
NotationType
E3Journal of Economics Literature Classification
Keywords:Uncertainty shocks; Sectoral impact; GARCH-in-mean; Profit growth
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:32280
Owner only: item control page

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