Corrigendum: Measuring Uncertainty and Its Impact on the Economy

Abstract

Abstract Carriero, Clark, and Marcellino (2018, CCM2018) used a large BVAR model with a factor structure to stochastic volatility to produce an estimate of time-varying macroeconomic and financial uncertainty and assess the effects of uncertainty on the economy. The results in CCM2018 were based on an estimation algorithm that has recently been shown to be incorrect by Bognanni (2022) and fixed by Carriero et al. (2022). In this corrigendum we use the algorithm correction of Carriero et al. (2022) to correct the estimates of CCM2018. Although the correction has some impact on the original results, the changes are small and the key findings of CCM2018 are upheld.