Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions

Barbara Rossi; Tatevik Sekhposyan

doi:10.1257/aer.p20151124

American Economic Review Vol. 105 No. 5 2015

Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions

Barbara Rossi¹; Tatevik Sekhposyan²

¹ ICREA-University of Pompeu Fabra, Barcelona GSE and CREI, c/Ramon Trias Fargas 25/27, Barcelona 08005, Spain (e-mail: ) · ² Texas A&M University, 4228 TAMU, College Station, Texas 77843 (e-mail: )

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.

DOI: 10.1257/aer.p20151124
Volume: 105
Issue: 5
Pages: 650-655
Language: en
Sources: bibtex:phds-export.bib openalex crossref

Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions

Abstract

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