Economic Uncertainty from Business Tendency Surveys: The Peruvian case

Ana Paola Gutierrez, Luis-Gonzalo Llosa and Juan José Tang
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Ana Paola Gutierrez: Banco Central de Reserva del Perú
Luis-Gonzalo Llosa: Banco Central de Reserva del Perú
Juan José Tang: Banco Central de Reserva del Perú

No 2025-024, Working Papers from Banco Central de Reserva del Perú

Abstract: We develop novel survey-based measures of economic uncertainty using firm-level data from Peru’s Survey of Macroeconomic Expectations. These proxies, based on forecast dispersion and forecast errors, rise sharply during major domestic and global shocks, particularly the COVID-19 pandemic. Using Vector Autoregressions (VAR), we identify uncertainty shocks and estimate their macroeconomic effects. Such shocks are contractionary, leading to declines in output, investment, and employment, as well as currency depreciation and lower interest rates. Investment exhibits the largest and most immediate response, while employment adjusts more gradually. The results underscore the macroeconomic relevance of survey-based uncertainty measures in emerging market economies.

Keywords: Uncertainty; Survey of Expectations; Vector Autoregressions. (search for similar items in EconPapers)
JEL-codes: C53 C83 D81 E23 E27 E32 E37 (search for similar items in EconPapers)
Date: 2025-12
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