Measuring macroeconomic uncertainty: A cross-country analysis
利用标准化国民账户的数据修正构建了39个国家的宏观经济不确定性指标，并发现不确定性冲击在就业保护较低的国家影响更强且更持久。
This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to post-WWII real-time data, we estimate macroeconomic uncertainty for 39 countries. The cross-country dimension of our uncertainty data allows us to study the impact of uncertainty shocks under varying degrees of employment protection legislation. Our empirical findings suggest that the effects of uncertainty shocks are stronger and more persistent in countries with low employment protection compared to countries with high employment protection. These empirical findings are in line with a theoretical model under varying firing cost.