TY - BOOK ID - 85595651 TI - Measuring Global and Country-Specific Uncertainty AU - Ozturk, Ezgi. AU - Sheng, Xuguang Simon. PY - 2017 SN - 1484326148 1484326113 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Banks and Banking KW - Labor KW - Macroeconomics KW - Industries: General KW - Employment KW - Unemployment KW - Wages KW - Intergenerational Income Distribution KW - Aggregate Human Capital KW - Aggregate Labor Productivity KW - Business Fluctuations KW - Cycles KW - Interest Rates: Determination, Term Structure, and Effects KW - Macroeconomics: Production KW - Unemployment: Models, Duration, Incidence, and Job Search KW - Macroeconomics: Consumption KW - Saving KW - Wealth KW - Finance KW - Labour KW - income economics KW - Industrial production KW - Short term interest rates KW - Long term interest rates KW - Unemployment rate KW - Consumption KW - Production KW - Financial services KW - National accounts KW - Interest rates KW - Industries KW - Economics KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:85595651 AB - Motivated by the literature on the capital asset pricing model, we decompose the uncertainty of a typical forecaster into common and idiosyncratic uncertainty. Using individual survey data from the Consensus Forecasts over the period of 1989-2014, we develop monthly measures of macroeconomic uncertainty covering 45 countries and construct a measure of global uncertainty as the weighted average of country-specific uncertainties. Our measure captures perceived uncertainty of market participants and derives from two components that are shown to exhibit strikingly different behavior. Common uncertainty shocks produce the large and persistent negative response in real economic activity, whereas the contributions of idiosyncratic uncertainty shocks are negligible. ER -