Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions Academic Article uri icon

abstract

  • We 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.

published proceedings

  • AMERICAN ECONOMIC REVIEW

altmetric score

  • 9

author list (cited authors)

  • Rossi, B., & Sekhposyan, T.

citation count

  • 171

complete list of authors

  • Rossi, Barbara||Sekhposyan, Tatevik

publication date

  • May 2015