What is Certain About Uncertainty?

Researchers, policymakers, and market participants have become increasingly focused on the effects of uncertainty risk financial economic outcomes. This paper provides a comprehensive survey many existing measures risk, uncertainty, volatility. It summarizes what these capture, how they are constructed, their effects, paying particular attention to large spikes, such as those appearing concurrently with outbreak COVID-19. The divided into three types: (1) news-based, survey- based, econometric; (2) asset based; (3) Knightian uncertainty. While has significant real spills over across countries, size persistence depend crucially source