Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions

Barbara Rossi and Tatevik Sekhposyan

American Economic Review, 2015, vol. 105, issue 5, 650-55

Abstract: We propose new indices to measure macroeconomic uncertainty. The indices measure how unexpected a realization of a representative macroeconomic variable is relative to the unconditional forecast error distribution. We use forecast error distributions based on the nowcasts and forecasts of the Survey of Professional Forecasters. We further compare the new indices with those proposed in the literature and assess their macroeconomic impact.

JEL-codes: C43 C53 E23 E27 (search for similar items in EconPapers)
Date: 2015
Note: DOI: 10.1257/aer.p20151124
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Citations: View citations in EconPapers (243)

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