Uncertainty matters: Evidence from close elections
为11个发达国家构建了宏观经济和金融不确定性指数，利用势均力敌选举识别宏观不确定性冲击，发现其对多数国家有显著影响，且选举期间实际效应更大。
This paper uses a data rich environment to produce direct econometric estimates of macroeconomic and financial uncertainty for 11 advanced nations. These indices exhibit significant independent variation from popular proxies and provide a refinement of the influential work of [Jurado et al., 2015] that results in improved real-time performance. We use this new data in combination with narrative evidence to jointly identify macro uncertainty and financial shocks. Macro uncertainty shocks are identified with close elections and financial shocks with financial stress during financial crises. We find that macro uncertainty shocks matter for the majority of countries and that the real effects of macro uncertainty shocks are generally larger conditioning on close elections. These results are robust to controlling for news shocks and global uncertainty as well as a variety of shocks considered to be important drivers of the business cycle.