Assessing uncertainty in Europe and the US : is there a common factor?

dc.contributor.authorSauter, Oliverde
dc.date.accessioned2024-04-08T08:46:58Z
dc.date.available2024-04-08T08:46:58Z
dc.date.created2012-06-11
dc.date.issued2012
dc.description.abstractThis 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.en
dc.identifier.swb367614332
dc.identifier.urihttps://hohpublica.uni-hohenheim.de/handle/123456789/5592
dc.identifier.urnurn:nbn:de:bsz:100-opus-7212
dc.language.isoeng
dc.relation.ispartofseriesFZID discussion papers; 47
dc.rights.licensepubl-ohne-poden
dc.rights.licensepubl-ohne-podde
dc.rights.urihttp://opus.uni-hohenheim.de/doku/lic_ubh.php
dc.subjectMonetary policyen
dc.subjectUncertaintyen
dc.subjectSurvey forecastsen
dc.subjectForecast disagreementen
dc.subjectFactor analysisen
dc.subject.ddc330
dc.subject.gndGeldpolitikde
dc.subject.gndUnsicherheitde
dc.titleAssessing uncertainty in Europe and the US : is there a common factor?de
dc.type.dcmiTextde
dc.type.diniWorkingPaperde
local.accessuneingeschränkter Zugriffen
local.accessuneingeschränkter Zugriffde
local.bibliographicCitation.publisherPlaceUniversität Hohenheimde
local.export.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}, }
local.export.bibtexAuthorSauter, Oliver
local.export.bibtexKeySauter2012
local.export.bibtexType@techreport
local.faculty.number3de
local.faculty.number7de
local.institute.number520de
local.institute.number795de
local.opus.number721
local.series.issueNumber47
local.series.titleFZID discussion papers
local.universityUniversität Hohenheimde
local.university.facultyFaculty of Business, Economics and Social Sciencesen
local.university.facultyFakultät Wirtschafts- und Sozialwissenschaftende
local.university.facultyLandesanstaltende
local.university.instituteInstitute for Economicsen
local.university.instituteInstitut für Volkswirtschaftslehrede
local.university.instituteForschungszentrum Innovation und Dienstleistungde

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