Measuring Macroeconomic Uncertainty: US Inflation and Output Growth

36 Pages Posted: 15 May 2014

See all articles by Michael P. Clements

Michael P. Clements

University of Reading - Henley Business School

Ana Beatriz Galvão

University of Warwick

Date Written: May 14, 2014

Abstract

We find that model estimates of the term structure of ex ante or perceived macro uncertainty are more in line with realized uncertainty than survey respondents ’perceptions for both in‡flation and output growth. Survey estimates contain short-term variation in short-horizon uncertainty which is less evident in the model-based estimates. We consider the extent to which these short-term variations coincide with short-term movements in stock market uncertainty.

Keywords: Ex ante and ex post uncertainty, Macro and stock market uncertainty, MIDAS models.

JEL Classification: C53

Suggested Citation

Clements, Michael P. and Galvão, Ana Beatriz, Measuring Macroeconomic Uncertainty: US Inflation and Output Growth (May 14, 2014). Available at SSRN: https://ssrn.com/abstract=2436810 or http://dx.doi.org/10.2139/ssrn.2436810

Michael P. Clements

University of Reading - Henley Business School ( email )

Whiteknights
Reading, RG6 6BA
United Kingdom

Ana Beatriz Galvão (Contact Author)

University of Warwick ( email )

Coventry CV4 7AL
United Kingdom

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