This paper analyzes the effect of different types of uncertainty by implementing an in-depth case study of Mexican peso US dollar exchange rate volatility. The paper exploits unique data from the Banco de México's Survey of Professional Forecasters to construct four distinct, direct knightian uncertainty measures, and two macro surprise measures. These measures, as well as text-based and financial data based measures common in the literature, are used to test for distinct uncertainty effects. Exchange rate volatility during 1999–2018 is regressed onto uncertainty measures capturing both domestic and international, economic and political uncertainty. The main results show higher knightian uncertainty leads to higher exchange rate volatility. While both domestic and international measures affect exchange rate volatility, international uncertainty measures based on text and financial data (the global EPU and the VIX) and our novel survey-based knightian measure of domestic political uncertainty dominate. The paper also presents evidence of an amplifying effect of domestic economic uncertainty on exchange rate volatility during recession periods. The results are robust to different exchange rate volatility measures and different specifications.

本文通过对墨西哥比索美元汇率波动性进行深入的案例研究，分析了不同类型不确定性的影响。本文利用墨西哥银行的专业预报员调查中的独特数据构建了四个不同的直接骑士不确定性度量和两个宏观意外度量。这些措施以及文献中常见的基于文本和基于财务数据的措施都用于测试明显的不确定性影响。1999-2018年期间的汇率波动被归结为不确定性衡量指标，涵盖了国内和国际，经济和政治方面的不确定性。主要结果表明，较高的骑士不确定性会导致较高的汇率波动性。虽然国内和国际措施都会影响汇率波动，基于文本和财务数据的国际不确定性度量（全球EPU和VIX）和基于调查的基于骑士的新颖的国内政治不确定性度量占主导地位。本文还提供了经济衰退期间国内经济不确定性对汇率波动的放大效应的证据。结果对于不同的汇率波动性度量和不同的规格是可靠的。