Measuring Macroeconomic Uncertainty: US Inflation and Output Growth

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