Macroeconomic Uncertainty: A New Measure for Italy

This thesis aims to create an alternative measure of time-varying macroeconomic uncertainty for Italy, to the commonly used proxies, and to analyse the role it plays in macroeconomic fluctuations. Although the literature on measuring uncertainty is still in its early stages, recent events, like the Great Recession of 2007-08, have highlighted the importance of its study. An increase in uncertainty has a negative impact on three main economic agents and areas: consumers, businesses, and financial markets. An accurate measure of uncertainty is crucial for the purpose of developing adequate policy responses.