Measuring macroeconomic uncertainty: A cross-country analysis

This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained standardized national accounts. Applying our model to post-WWII real-time data, we estimate for 39 countries. The cross-country dimension allows us study the impact shocks under varying degrees employment protection legislation. empirical findings suggest that effects are stronger and more persistent countries with low compared high protection. These line a theoretical firing cost.