EconPapers    
Economics at your fingertips  
 

Surprise and uncertainty indexes: real-time aggregation of real-activity macro surprises

Chiara Scotti

No 1093, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: I construct two daily, real-time, real activity indexes for the United States, Euro area, the United Kingdom, Canada, and Japan: (i) a surprise index that summarizes recent economic data surprises and measures optimism/pessimism about the state of the economy, and (ii) an uncertainty index that measures uncertainty related to the state of the economy. The surprise index preserves the properties of the underlying series in affecting asset prices, with the advantage of being a parsimonious summary measure of real-activity surprises. For the United States, the real-activity uncertainty index is compared to other proxies commonly used to measure uncertainty to show that when uncertainty is strictly related to real activity, it has a potentially milder impact on economic activity than when it also relates to the financial sector.

JEL-codes: C38 E32 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2013
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (107)

Downloads: (external link)
http://www.federalreserve.gov/pubs/ifdp/2013/1093/default.htm Full text (text/html)
http://www.federalreserve.gov/pubs/ifdp/2013/1093/ifdp1093.pdf (application/pdf)
http://www.federalreserve.gov/econresdata/ifdp/2013/files/ifdp1093r.pdf (application/pdf)

Related works:
Journal Article: Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:1093

Access Statistics for this paper

More papers in International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().

 
Page updated 2025-03-24
Handle: RePEc:fip:fedgif:1093