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Download output in Excel format for the US, the euro area, Germany, France, Italy and Spain, up to 2024.
Please cite as follows
Istrefi, K. and S. Mouabbi, (2017), “Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-Country Analysis”, Journal of International Money and Finance.
Duquerroy, A., K. Istrefi and S. Mouabbi. (2024), “Interest Rate Uncertainty and Firm Decisions”, Working papers 940, Banque de France.
Download output in Excel format for the full international panel, up to 2019.
Please cite as follows
Istrefi, K. and S. Mouabbi, (2017), “Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-Country Analysis” Journal of International Money and Finance.
Subjective Interest Rate Uncertainty (blue) vs. Other Uncertainty Measures (red) for the US
Note: Subjective interest rate uncertainty measure for the US refers to the 3-month yield, at a 3-month forecasting horizon. MPU denotes the Baker et al. (2016) index of monetary policy uncertainty based on news coverage. Financial and Macro uncertainty refer to Jurado et al. (2015)’s measures. Financial uncertainty is measured as the common uncertainty stemming from 147 monthly financial indicators. Macro uncertainty is measured as the common uncertainty stemming from 134 macroeconomic time series. All measures are standardized.
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