Uncertainty and Economic Activity: A Multi-Country Perspective
NBER Working Paper No. 24325
---- Acknowledgments ----
We would like to thank Alex Chudik, Frank Diebold, Vadim Elenev, Domenico Giannone, Nicola Fusari, Michele Lenza, Pierre Noual, Giorgio Primiceri, Barbara Rossi, Ron Smith, Zhaogang Song, Allan Timmermann, and Paolo Zaffaroni for comments and useful suggestions. We have also benefited from comments by participants at the NBER Summer Institute (Forecasting and Empirical Methods Group), the 2017 BGSE Summer Forum, the ASSA Meetings, the EABCN-PWC-EUI Conference on “Time-varying models for monetary policy and financial stability,” the 2017 International Conference on Computational and Financial Econometrics, the University of St Andrews “Workshop on Time-Varying Uncertainty in Macro,” and seminars at the Bank of England and Johns Hopkins University. The views expressed in this paper are solely those of the authors and should not be taken to represent those of the Bank of England or the National Bureau of Economic Research.