MEASURING UNCERTAINTY IN MACROECONOMICS

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HEIBATI REZA; SHAJARI HOSHANG; SAMADI SAEID

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Journal: Journal of Monetary and Banking Research Year:2016 | Volume:9 | Issue:28 Page(s): 223-250

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Title

MEASURING UNCERTAINTY IN MACROECONOMICS

Author(s)

HEIBATI REZA | SHAJARI HOSHANG | SAMADI SAEID | Issue Writer Certificate

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Abstract

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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APA: Copy

HEIBATI, REZA, SHAJARI, HOSHANG, & SAMADI, SAEID. (2016). MEASURING UNCERTAINTY IN MACROECONOMICS. JOURNAL OF MONETARY AND BANKING RESEARCHES, 9(28 ), 223-250. SID. https://sid.ir/paper/263703/en

Vancouver: Copy

HEIBATI REZA, SHAJARI HOSHANG, SAMADI SAEID. MEASURING UNCERTAINTY IN MACROECONOMICS. JOURNAL OF MONETARY AND BANKING RESEARCHES[Internet]. 2016;9(28 ):223-250. Available from: https://sid.ir/paper/263703/en

IEEE: Copy

REZA HEIBATI, HOSHANG SHAJARI, and SAEID SAMADI, “MEASURING UNCERTAINTY IN MACROECONOMICS,” JOURNAL OF MONETARY AND BANKING RESEARCHES, vol. 9, no. 28 , pp. 223–250, 2016, [Online]. Available: https://sid.ir/paper/263703/en

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