The impact of the COVID-19 pandemic on forecast uncertainty of macroeconomic data releases

Macroeconomic data releases are very important benchmarks of the economy. Therefore, the vast majority of financial market analysts and traders closely monitor both the projected estimates and, the intuitively more impactful actual values. In this research, we focus on the uncertainty associated with macroeconomic data forecasts measured by the surprise indicator (SI). Moreover, we examine whether the distribution of SI depends on the economy, category of indicator or time, considering pre-pandemic, pandemic and post-pandemic periods in the context of the COVID-19 crisis. We also propose the construction of a sentiment indicator that is intended to aggregate all information that is jointly released through macroeconomic indicators.