Uncertainty and Economic Activity: Evidence from Business Survey Data

Ruediger Bachmann, Steffen Elstner and Eric Sims ()

American Economic Journal: Macroeconomics, 2013, vol. 5, issue 2, 217-49

Abstract: This paper uses survey expectations data to construct empirical proxies for time-varying business-level uncertainty. Access to the micro data from the German IFO Business Climate Survey permits construction of uncertainty measures based on both ex ante disagreement and ex post forecast errors. Ex ante disagreement is strongly correlated with dispersion in ex post forecast errors. Surprise movements in either measure lead to significant reductions in production that abate fairly quickly. We extend our analysis to US data, measuring uncertainty with forecast disagreement from the Business Outlook Survey. Surprise increases in forecast dispersion lead to more persistent reductions in production than in the German data. (JEL C53, C83, D81, E23, E27, E32, E37)

JEL-codes: C53 C83 D81 E23 E27 E32 E37 (search for similar items in EconPapers)
Date: 2013
Note: DOI: 10.1257/mac.5.2.217
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Citations: View citations in EconPapers (767)

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Related works:
Working Paper: Uncertainty and Economic Activity: Evidence from Business Survey Data (2012)
Working Paper: Uncertainty and Economic Activity: Evidence from Business Survey Data (2010)
Working Paper: Uncertainty and Economic Activity: Evidence from Business Survey Data (2010)
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