Measuring macroeconomic uncertainty : US inflation and output growth

Michael P. Clements; Ana Beatriz Galvão

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 in flation and output growth. Survey estimates contain short-term variation 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

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Year of publication:	2014
Authors:	Clements, Michael P. ; Galvão, Ana Beatriz C.
Publisher:	Reading : Henley, Univ. of Reading, ICMA Centre
Subject:	Inflation \| Wirtschaftswachstum \| Economic growth \| Risiko \| Risk \| Bruttoinlandsprodukt \| Gross domestic product \| Messung \| Measurement \| Volatilität \| Volatility \| Schätzung \| Estimation \| Theorie \| Theory \| ARCH-Modell \| ARCH model

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Extent:	Online-Ressource (33 S.) graph. Darst.
Series:	Discussion paper / ICMA Centre, Henley Business School, University of Reading. - Reading, ZDB-ID 2631352-2. - Vol. 2014,04
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	10.2139/ssrn.2436810 [DOI]
Classification:	C53 - Forecasting and Other Model Applications
Source:	ECONIS - Online Catalogue of the ZBW

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