Replication data for: Uncertainty and Economic Activity: Evidence from Business Survey Data
Principal Investigator(s): View help for Principal Investigator(s) Rüdiger Bachmann; Steffen Elstner; Eric R. Sims
Version: View help for Version V1
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| aej_macro_2011_150_replication | 10/12/2019 09:45:PM | ||
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text/plain | 14.6 KB | 10/12/2019 05:45:PM |
Project Citation:
Bachmann, Rüdiger, Elstner, Steffen, and Sims, Eric R. Replication data for: Uncertainty and Economic Activity: Evidence from Business Survey Data. Nashville, TN: American Economic Association [publisher], 2013. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114269V1
Project Description
Summary:
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This paper uses survey expectations data to construct empirical proxies for time-varying business-level uncertainty. Access to the micro data from the German IFO Business Climate Survey permits construction of uncertainty measures based on both ex ante disagreement and ex post forecast errors. Ex ante disagreement is strongly correlated with dispersion in ex post forecast errors. Surprise movements in either measure lead to significant reductions in production that abate fairly quickly. We extend our analysis to US data, measuring uncertainty with forecast disagreement from the Business Outlook Survey. Surprise increases in forecast dispersion lead to more persistent reductions in production than in the German data. (JEL C53, C83, D81, E23, E27, E32, E37)
Scope of Project
JEL Classification:
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C53 Forecasting Models; Simulation Methods
C83 Survey Methods; Sampling Methods
D81 Criteria for Decision-Making under Risk and Uncertainty
E23 Macroeconomics: Production
E27 Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
E32 Business Fluctuations; Cycles
E37 Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
C53 Forecasting Models; Simulation Methods
C83 Survey Methods; Sampling Methods
D81 Criteria for Decision-Making under Risk and Uncertainty
E23 Macroeconomics: Production
E27 Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
E32 Business Fluctuations; Cycles
E37 Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
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