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Macroeconomic Uncertainty Through the Lens of Professional Forecasters

Soojin Jo and Rodrigo Sekkel ()
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Rodrigo Sekkel: Bank of Canada

No 1702, Working Papers from Federal Reserve Bank of Dallas

Abstract: We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of various 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 show that the selection of data vintages affects the estimates and 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: Factor stochastic volatility model; survey forecasts; Uncertainty (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-for and nep-mac
Date: 2017-01-26
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Working Paper: Macroeconomic Uncertainty Through the Lens of Professional Forecasters (2016) Downloads
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DOI: 10.24149/wp1702

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