Gold and uncertainty shocks

This material includes the data and the code needed to construct the instrument for the uncertainty shock proposed in the paper by Piffer and Podstawski titled "Identifying Uncertainty Shocks Using the Price of Gold", Economic Journal, 2018.

In the paper, the estimation sample was 1962M8-2015M6, while the last event considered to construct the instrument was on 5/7/2015.  In principle, one could use the very same instrument for an analysis on a more recent sample. However, inference will be weaker. 

In this folder, we update the computation of the instrument. First, we provide a more up to date time series for the price of gold (both AM and PM auctions). Second, we add events after 2015M7. More time can be spent to consider additional events. Whoever uses this material should feel free to explore a different and more comprehensive selection of events.

The published paper identifies both an uncertainty shock and a news shock. As discussed in the paper, the instrument for the uncertainty shock can be used also to identify only the uncertainty shock. The robustness checks in the paper document that exact identification of only the uncertainty shock delivers very similar results compared to when identifying both the uncertainty and the news shock.

Link to the folder here

Last updated: May 1, 2025