The measurement and transmission of macroeconomic uncertainty: Evidence from the U.S. and BRIC countries

Yang Liu and Xuguang Simon Sheng

International Journal of Forecasting, 2019, vol. 35, issue 3, 967-979

Abstract: We propose a new measure of macroeconomic uncertainty that incorporates a rich information set from U.S. SPF density forecasts. Our measure has two key advantages over traditional measures: (i) it reflects the subjective perceptions of market participants; and (ii) it is an ex ante measure that does not require a knowledge of realized outcomes. We study the features of this measure of macroeconomic uncertainty and explore its impact on real economic activities within the U.S., as well as its spillover effects for BRIC countries.

Keywords: BRIC; Perceived uncertainty; Survey of professional forecasters; Density forecast; Spillover effect (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:35:y:2019:i:3:p:967-979

DOI: 10.1016/j.ijforecast.2019.05.001

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