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:: year 9, Issue 28 (Summer 2016) ::
JMBR 2016, 9(28): 223-250 Back to browse issues page
Measuring Uncertainty in Macroeconomics
Reza Heibati *1, Hoshang Shajari, Saeid Samadi
Abstract:   (2257 Views)

In this study we have introduced new time series measures of macroeconomic uncertainty for Iran's economy. We attempt to provide superior econometric estimates of macro uncertainty and consider its dynamics during 1370-1393. This measure is extracted as a common latent stochastic process from many series, sectors, and markets at the same time, and then its robustness has been evaluated. Dynamics of macro uncertainty reflect the most important economic episodes of the Iran's economy. According to the baseline estimates, macro uncertainty has striking rise during the 1370-1372, 1373-1374 and 1390-1392 recession periods, so that the baseline estimate reaches its highest level in spring 1372, spring 1374 and fall 1391. Furthermore, it turns out that, among the dataset, real exchange rate and government expenditure uncertainties are highly correlated with macro uncertainty. Thus, these uncertainties played a crucial role in shaping macro uncertainty shocks in Iran.

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Type of Study: Empirical Study | Subject: Macroeconomics: Consumption, Saving, Production, Employment, and Investment (E2)
Received: 2016/06/5 | Accepted: 2017/01/4 | Published: 2017/05/22
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year 9, Issue 28 (Summer 2016) Back to browse issues page
فصلنامه پژوهش‌های پولی-بانکی Journal of Monetary & Banking Research
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