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Measuring Global and Country-Specific Uncertainty

Measuring Global and Country-Specific Uncertainty »

Source: Measuring Global and Country-Specific Uncertainty

Volume/Issue: 2017/219

Series: IMF Working Papers

Author(s): Ezgi Ozturk , and Xuguang Simon Sheng

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 October 2017

ISBN: 9781484316597

Keywords: Capital Asset Pricing Model; Common Uncertainty; Consensus Forecasts; Idiosyncratic Uncertainty; Global Uncertainty; Survey Forecast, Capital Asset Pricing Model, Common Uncertainty, Consensus Forecasts, Idiosyncratic Uncertainty, Global Uncertainty, Survey Forecast

Motivated by the literature on the capital asset pricing model, we decompose the uncertainty of a typical forecaster into common and idiosyncratic uncertainty. Using individual survey data from the Consensus Foreca...

Measuring Global and Country-Specific Uncertainty

Measuring Global and Country-Specific Uncertainty »

Volume/Issue: 2017/219

Series: IMF Working Papers

Author(s): Ezgi Ozturk , and Xuguang Simon Sheng

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 October 2017

DOI: http://dx.doi.org/10.5089/9781484316597.001

ISBN: 9781484316597

Keywords: Capital Asset Pricing Model; Common Uncertainty; Consensus Forecasts; Idiosyncratic Uncertainty; Global Uncertainty; Survey Forecast, Capital Asset Pricing Model, Common Uncertainty, Consensus Forecasts, Idiosyncratic Uncertainty, Global Uncertainty, Survey Forecast

Motivated by the literature on the capital asset pricing model, we decompose the uncertainty of a typical forecaster into common and idiosyncratic uncertainty. Using individual survey data from the Consensus Foreca...