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Macroeconomic Uncertainty Through the Lens of Professional Forecasters

Soojin Jo and Rodrigo Sekkel

Staff Working Papers from Bank of Canada

Abstract: We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of different economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time subjective measure of uncertainty in a simple framework. We jointly model and estimate macroeconomic (common) and indicator-specific uncertainties of four indicators, using a factor stochastic volatility model. Our macroeconomic uncertainty has three major spikes, aligned with the 1973–75, 1980, and 2007–09 recessions, while other recessions were characterized by increases in indicator-specific uncertainties. We also demonstrate for the first time in the literature that the selection of data vintages substantially affects the relative size of jumps in estimated uncertainty series. Finally, our macroeconomic uncertainty has a persistent negative impact on real economic activity, rather than producing “wait-and-see” dynamics.

Keywords: Business fluctuations and cycles; Econometric and statistical methods (search for similar items in EconPapers)
JEL-codes: C38 E17 E32 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2016
New Economics Papers: this item is included in nep-for, nep-mac and nep-ore
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Related works:
Journal Article: Macroeconomic Uncertainty Through the Lens of Professional Forecasters (2019) Downloads
Working Paper: Macroeconomic Uncertainty Through the Lens of Professional Forecasters (2017) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:16-5

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