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Measuring Uncertainty for New Zealand Using Data-Rich Approach

Measuring Uncertainty for New Zealand Using Data-Rich Approach PDF Author: Trung Duc Tran
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

Book Description
This paper develops two state-of-the-art uncertainty indices for New Zealand by exploiting two separate data-rich environments. The first index follows the methodology outlined in Jurado, Ludvigson and Ng (2015) to construct an estimate of uncertainty based on a large New Zealand macro dataset. The second index is constructed based on freely accessible and real time Google Trends data to provide a real-time and freely-accessible measure of uncertainty as in Castelnuovo and Tran (2017) and Shields and Tran (2018). Both indices do a reasonable job measuring uncertainty in New Zealand. VAR evidence documents significant impacts of uncertainty shocks on GDP in New Zealand.

Measuring Uncertainty for New Zealand Using Data-Rich Approach

Measuring Uncertainty for New Zealand Using Data-Rich Approach PDF Author: Trung Duc Tran
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

Book Description
This paper develops two state-of-the-art uncertainty indices for New Zealand by exploiting two separate data-rich environments. The first index follows the methodology outlined in Jurado, Ludvigson and Ng (2015) to construct an estimate of uncertainty based on a large New Zealand macro dataset. The second index is constructed based on freely accessible and real time Google Trends data to provide a real-time and freely-accessible measure of uncertainty as in Castelnuovo and Tran (2017) and Shields and Tran (2018). Both indices do a reasonable job measuring uncertainty in New Zealand. VAR evidence documents significant impacts of uncertainty shocks on GDP in New Zealand.

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