Macroeconomic Uncertainty Through the Lens of Professional Forecasters

Soojin Jo, Rodrigo Sekkel

Research output: Contribution to journalArticlepeer-review

14 Citations (Scopus)

Abstract

We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of various economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time measure of uncertainty surrounding subjective forecasts in a simple framework. We jointly model and estimate macroeconomic (common) and indicator-specific uncertainties of four indicators, using a factor stochastic volatility model. Our macroeconomic uncertainty estimates have three major spikes has three major spikes aligned with the 1973–1975, 1980, and 2007–2009 recessions, while other recessions were characterized by increases in indicator-specific uncertainties. We also show that the selection of data vintages affects the estimates and relative size of jumps in estimated uncertainty series. Finally, our macroeconomic uncertainty has a persistent negative impact on real economic activity, rather than producing “wait-and-see” dynamics.

Original languageEnglish
Pages (from-to)436-446
Number of pages11
JournalJournal of Business and Economic Statistics
Volume37
Issue number3
DOIs
Publication statusPublished - 2019 Jul 3

Bibliographical note

Publisher Copyright:
© 2017, © 2017 American Statistical Association.

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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