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Financial Markets Uncertainty: Measurement, Effects and Policy Implications
2020 - 2023
| Provider | Czech Science Foundation |
| Programme | Standard projects |
| Project code | 20-17044S |
| Participants | Faculty of Social Sciences Charles University |
Our research focuses on the measurement of uncertainty in financial markets and analysis of the consequences of this uncertainty. Uncertainty increased dramatically during the global financial crisis and deepened the negative effects of the crisis. We will develop a financial uncertainty index (and its sub-indexes for banks, stock market, money market and bond market) based on the textual analysis of millions of articles from main US newspapers and analyze the consequences of uncertainty for financial stability and real economic fluctuations using a number of empirical and theoretical models.
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