Macroeconomic uncertainty indices for the Euro Area and its individual member countries Academic Article

abstract

• 2017, Springer-Verlag Berlin Heidelberg. This paper introduces the Rossi and Sekhposyan (Am Econ Rev 105(5): 650655, 2015) uncertainty index for the Euro Area and its member countries. The index captures how unexpected a forecast error associated with a realization of a macroeconomic variable is relative to the unconditional distribution of forecast errors. Furthermore, it can differentiate between upside and downside uncertainty, which could be relevant for addressing a variety of economic questions. The index is particularly useful since it can be constructed for any country/variable for which point forecasts and realizations are available. We show the usefulness of the index in studying the heterogeneity of uncertainty across Euro Area countries as well as the spillover effects via a network approach.

authors

• Sekhposyan, Tatevik

published proceedings

• EMPIRICAL ECONOMICS

altmetric score

• 3

author list (cited authors)

• Rossi, B., & Sekhposyan, T.

citation count

• 51

complete list of authors

• Rossi, Barbara||Sekhposyan, Tatevik

publication date

• August 2017

publisher

• Springer Nature  Publisher

published in

• Empirical Economics  Journal

keywords

• Euro Area Macroeconomy
• Spillovers
• Survey Of Professional Forecasters
• Uncertainty
• Uncertainty Index

Digital Object Identifier (DOI)

• 10.1007/s00181-017-1248-z

start page

• 41

end page

• 62

volume

• 53

issue

• 1

URL

• http://dx.doi.org/10.1007/s00181-017-1248-z