The world uncertainty index

Ahir, Hites, Bloom, Nicholas and Furceri, Davide (2022) The world uncertainty index. CEP Discussion Papers (CEPDP1842). London School of Economics and Political Science. Centre for Economic Performance, London, UK.

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Abstract

We construct the World Uncertainty Index (WUI) for an unbalanced panel of 143 individual countries on a quarterly basis from 1952. This is the frequency of the word "uncertainty" in the quarterly Economist Intelligence Unit country reports. Globally, the Index spikes around major events like the Gulf War, the Euro debt crisis, the Brexit vote and the COVID pandemic. The level of uncertainty is higher in developing countries but is more synchronized across advanced economies with their tighter trade and financial linkages. In a panel vector autoregressive setting we find that innovations in the WUI foreshadow significant declines in output. This effect is larger and more persistent in countries with lower institutional quality, and in sectors with greater financial constraints.

Item Type:	Monograph (Discussion Paper)
Official URL:	https://cep.lse.ac.uk/_new/publications/discussion...
Additional Information:	© 2022 The Author(s)
Divisions:	LSE
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor
JEL classification:	E - Macroeconomics and Monetary Economics > E0 - General
Date Deposited:	10 Jan 2023 12:00
Last Modified:	08 May 2024 22:34
URI:	http://eprints.lse.ac.uk/id/eprint/117833

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