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ResearchPaper
2012
Assessing uncertainty in Europe and the US : is there a common factor?
Assessing uncertainty in Europe and the US : is there a common factor?
Abstract (English)
This paper aims an empirical investigation of uncertainty in the Euro Zone as well as the US. For this purpose I conduct a factor analysis of uncertainty measures starting in 2001 until the end of 2011. I use survey-based data provided by the ECB and the Federal Reserve Bank of Philadelphia as well as the stock market indices VSTOXX and VIX, both measures of implied volatility of stock market movements.
Each measure shows an increase in uncertainty during the last years marked by the financial turmoil. Given the rise in uncertainty, the question arises whether this uncertainty is driven by the same underlying factors. For the Euro Zone, I show that uncertainty can be separated into factors of short and long-term uncertainty. In the US there is a sharp distinction between uncertainty that drives stock market and ?real? variables on the one hand and inflation (short and long-term) on the other hand. Combining both data sets, factor analysis delivers (1) an international stock market factor, (2) a common European uncertainty factor and (3) an US-inflation uncertainty factor.
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Publication series
FZID discussion papers; 47
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Faculty
Faculty of Business, Economics and Social Sciences
State Institutes
State Institutes
Institute
Institute of Economics
Forschungszentrum Innovation und Dienstleistung
Forschungszentrum Innovation und Dienstleistung
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Language
English
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Classification (DDC)
330 Economics
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BibTeX
@techreport{Sauter2012,
url = {https://hohpublica.uni-hohenheim.de/handle/123456789/5592},
author = {Sauter, Oliver},
title = {Assessing uncertainty in Europe and the US : is there a common factor?},
year = {2012},
school = {Universität Hohenheim},
series = {FZID discussion papers},
}