Research Discussion Paper – RDP2016-01 Measuring Economic Uncertainty and Its Effects

Contents

• Introduction
• Measuring Economic Uncertainty in Australia
• Stylised Facts about Uncertainty
• The Effects of Uncertainty on the Australian Economy
• Conclusion
• Appendix A: Other Measures of Uncertainty
• Appendix B: Data Availability for Measures of Uncertainty
• Appendix C: Constructing the Economic Uncertainty Index
• Appendix D: Additional Stylised Facts
• Appendix E: Extra VAR Results
• References

I thank Adam Cagliarini, Efrem Castelnuovo, José Dorich, Christian Gillitzer, Bruce Preston, Ewan Rankin, Penelope Smith and John Simon for advice, comments and suggestions. I also thank Stephen Cupper, Virginia Macdonald, Sue Morris and Sean Wang for their assistance collecting data. The views expressed in this paper are mine and do not necessarily reflect the views of the Reserve Bank of Australia. Any errors are my own.