What Is Certain about Uncertainty?
Journal of Economic Literature
vol. 61,
no. 2, June 2023
(pp. 624-54)
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.Citation
Cascaldi-Garcia, Danilo, Cisil Sarisoy, Juan M. Londono, Bo Sun, Deepa D. Datta, Thiago Ferreira, Olesya Grishchenko, Mohammad R. Jahan-Parvar, Francesca Loria, Sai Ma, Marius Rodriguez, Ilknur Zer, and John Rogers. 2023. "What Is Certain about Uncertainty?" Journal of Economic Literature, 61 (2): 624-54. DOI: 10.1257/jel.20211645Additional Materials
JEL Classification
- C83 Survey Methods; Sampling Methods
- D81 Criteria for Decision-Making under Risk and Uncertainty
- E10 General Aggregative Models: General
- E52 Monetary Policy
- E60 Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General
- F10 Trade: General
- G10 General Financial Markets: General (includes Measurement and Data)