This survey features three parts. The first one reviews the most recent literature on the
relationship between domestic (ie, country‐specific) uncertainty and the business cycle, and …

Summary We move beyond Is Machine Learning Useful for Macroeconomic Forecasting? by
adding the how. The current forecasting literature has focused on matching specific …

Uncertainty rises in recessions and falls in booms. But what is the causal relationship? We
construct cross-country panel data on stock market returns to proxy for first-and second …

Recent research has shown that a reliable vector autoregression (VAR) for forecasting and
structural analysis of macroeconomic data requires a large set of variables and modeling …

We provide evidence on the relationship between aggregate uncertainty and the
macroeconomy. Identifying uncertainty shocks using methods from the news shocks …

This paper examines the dynamic spillovers among the major cryptocurrencies under
different market conditions and accounts for the ongoing COVID-19 health crisis. We also …

This paper provides a comprehensive survey of existing measures of uncertainty, risk, and
volatility, noting their conceptual distinctions. It summarizes how they are constructed, their …

We estimate a nonlinear VAR to quantify the impact of US economic policy uncertainty
shocks on the Canadian unemployment rate in booms and busts. We find strong evidence in …

This paper investigates the dynamic impacts of uncertainty in international crude oil prices
on the Chinese economy. We use two measures, sample standard deviation and conditional …

This paper studies the US and global economic fundamentals that exacerbate emerging
stock markets volatility and can be considered as systemic risk factors increasing financial …