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Measuring Macroeconomic Uncertainty: US Inflation and Output Growth

Michael Clements and Ana Beatriz Galvão
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Ana Beatriz Galvão: University of Warwick

Authors registered in the RePEc Author Service: Ana Beatriz Galvão ()

No icma-dp2014-04, ICMA Centre Discussion Papers in Finance from Henley Business School, Reading University

Abstract: We find that model estimates of the term structure of ex ante or perceived macro uncertainty are more in line with realized uncertainty than survey respondents' perceptions for both inflation and output growth. Survey estimates contain short-term vari- ation in short-horizon uncertainty which is less evident in the model-based estimates. We consider the extent to which these short-term variations coincide with short-term movements in stock market uncertainty.

Keywords: Ex ante and ex post uncertainty; Macro and stock market uncertainty; MIDAS models (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2014-06
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