Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions
AbstractWe 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.
CitationRossi, Barbara, and Tatevik Sekhposyan. 2015. "Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions." American Economic Review, 105 (5): 650-55. DOI: 10.1257/aer.p20151124
- C43 Index Numbers and Aggregation; Leading indicators
- C53 Forecasting Models; Simulation Methods
- E23 Macroeconomics: Production
- E27 Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications