Macroeconomic uncertainty indices for the Euro Area and its individual member countries
Barbara Rossi () and
Tatevik Sekhposyan ()
Empirical Economics, 2017, vol. 53, issue 1, 41-62
Abstract This paper introduces the Rossi and Sekhposyan (Am Econ Rev 105(5): 650–655, 2015) uncertainty index for the Euro Area and its member countries. The index captures how unexpected a forecast error associated with a realization of a macroeconomic variable is relative to the unconditional distribution of forecast errors. Furthermore, it can differentiate between upside and downside uncertainty, which could be relevant for addressing a variety of economic questions. The index is particularly useful since it can be constructed for any country/variable for which point forecasts and realizations are available. We show the usefulness of the index in studying the heterogeneity of uncertainty across Euro Area countries as well as the spillover effects via a network approach.
Keywords: Uncertainty; Uncertainty index; Survey of Professional Forecasters; Euro Area macroeconomy; Spillovers (search for similar items in EconPapers)
JEL-codes: C18 E01 E30 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s00181-017-1248-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-017-1248-z
Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2
Access Statistics for this article
Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund
More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla ().