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

Sauter, Oliver

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

dc.contributor.author	Sauter, Oliver	de
dc.date.accessioned	2024-04-08T08:46:58Z
dc.date.available	2024-04-08T08:46:58Z
dc.date.created	2012-06-11
dc.date.issued	2012
dc.description.abstract	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.	en
dc.identifier.swb	367614332
dc.identifier.uri	https://hohpublica.uni-hohenheim.de/handle/123456789/5592
dc.identifier.urn	urn:nbn:de:bsz:100-opus-7212
dc.language.iso	eng
dc.relation.ispartofseries	FZID discussion papers; 47
dc.rights.license	publ-ohne-pod	en
dc.rights.license	publ-ohne-pod	de
dc.rights.uri	http://opus.uni-hohenheim.de/doku/lic_ubh.php
dc.subject	Monetary policy	en
dc.subject	Uncertainty	en
dc.subject	Survey forecasts	en
dc.subject	Forecast disagreement	en
dc.subject	Factor analysis	en
dc.subject.ddc	330
dc.subject.gnd	Geldpolitik	de
dc.subject.gnd	Unsicherheit	de
dc.title	Assessing uncertainty in Europe and the US : is there a common factor?	de
dc.type.dcmi	Text	de
dc.type.dini	WorkingPaper	de
local.access	uneingeschränkter Zugriff	en
local.access	uneingeschränkter Zugriff	de
local.bibliographicCitation.publisherPlace	Universität Hohenheim	de
local.faculty.number	3	de
local.faculty.number	7	de
local.institute.number	520	de
local.institute.number	795	de
local.opus.number	721
local.series.issueNumber	47
local.series.title	FZID discussion papers
local.university	Universität Hohenheim	de
local.university.faculty	Faculty of Business, Economics and Social Sciences	en
local.university.faculty	Fakultät Wirtschafts- und Sozialwissenschaften	de
local.university.faculty	Landesanstalten	de
local.university.institute	Institute for Economics	en
local.university.institute	Institut für Volkswirtschaftslehre	de
local.university.institute	Forschungszentrum Innovation und Dienstleistung	de

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