Dimensions of Macroeconomic Uncertainty: A Common Factor Analysis
Dimensions of Macroeconomic Uncertainty: A Common Factor Analysis
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宏观经济不确定性的维度：公因子分析
DOI：
10.1111/ecin.12422
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发表时间：
2014
期刊：
影响因子：
--
通讯作者：
Malte Rengel
中科院分区：
文献类型：
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作者：
Steffen R. Henzel;Malte Rengel
经济未来走向的不确定性可能是总体波动的驱动因素。为了识别宏观经济中不确定性的不同维度，我们构建了一个涵盖所有类型经济不确定性的大型数据集。然后，我们确定了两个基本因素，这些因素解释了该数据集中的共同动态。这些因素被解释为宏观经济的不确定性。第一个因素主要反映商业周期的不确定性，而第二个因素被确定为石油和商品价格的不确定性。虽然这两种不确定性都预示着产出的下降，但石油和商品价格不确定性的意外增加似乎对真实的活动的波动更为重要。
Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which account for the common dynamics in this dataset. These factors are interpreted as macroeconomic uncertainty. The first factor mainly captures business cycle uncertainty while the second factor is identified as oil and commodity price uncertainty. While both types of uncertainty foreshadow a decline in output, surprise increases in oil and commodity price uncertainty appear to be more important for fluctuations in real activity.