Minchul Shin, Boyuan Zhang, Molin Zhong, and Dong Jin Lee | We leverage a data rich environment to construct and study a measure of macroeconomic uncertainty for the Korean economy. We provide several stylized facts about uncertainty in Korea from 1991M10-2016M5. We compare and contrast this measure of uncertainty with two other popular uncertainty proxies, financial and policy uncertainty proxies, as well as the U.S. measure constructed by Jurado et. al. (2015).

FRB: Finance and Economics Discussion Series Working Papers

Read the full FEDS working paper at: https://www.federalreserve.gov/feeds/feeds.htm