Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions

We propose new indices to measure macroeconomic uncertainty. The indices measure how unexpected a realization of a representative macroeconomic variable is relative to the unconditional forecast error distribution. We use forecast error distributions based on the nowcasts and forecasts of the Survey of Professional Forecasters. We further compare the new indices with those proposed in the literature and assess their macroeconomic impact.

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Year of publication:	2015-04
Authors:	Rossi, Barbara ; Sekhposyan, Tatevik
Institutions:	Barcelona Graduate School of Economics (Barcelona GSE)
Subject:	forecasting \| uncertainty \| survey forecasts \| real-time data

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 820
Classification:	c18 ; E01 - Measurement and Data on National Income and Product Accounts and Wealth ; E30 - Prices, Business Fluctuations, and Cycles. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011269054