CFE 2020: Start Registration
View Submission - CFE
Title: Financial market uncertainty in the US: Measurement, trends, and effects Authors:  Svatopluk Kapounek - Mendel University in Brno (Czech Republic) [presenting]
Abstract: Based on a textual analysis of more than 100 million articles published from 1885-2017 in 11 major US newspapers, we develop a new monthly index of financial market uncertainty as well as uncertainty subindexes for banks and stock, bond and money markets. We find that spikes in the uncertainty indexes correspond to major financial, political and policy events. The subindexes show distinct patterns, suggesting the benefits of measuring uncertainty at a more disaggregated level. The regression results show that financial uncertainty not only affects several macroeconomic and financial variables but that the reaction to financial uncertainty shocks is stronger and faster during recessions consistent with finance uncertainty multiplier theory.