Measuring Macroeconomic Uncertainty: US Inflation and Output Growth

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.

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Year of publication:	2014-06
Authors:	Clements, Michael P. ; Galvão, Ana Beatriz
Institutions:	Henley Business School, University of Reading
Subject:	Ex ante and ex post uncertainty \| Macro and stock market uncertainty \| MIDAS models

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Extent:	application/pdf
Series:	ICMA Centre Discussion Papers in Finance.
Type of publication:	Book / Working Paper
Notes:	Number icma-dp2014-04 36 pages
Classification:	C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010800986