Estimating Macroeconomic Uncertainty from Surveys - A Mixed Frequency Approach

28 Pages Posted: 21 Aug 2017

See all articles by Jeffrey Sheen

Jeffrey Sheen

Macquarie University; Financial Research Network (FIRN); Macquarie University, Faculty of Business and Economics

Ben Zhe Wang

Macquarie University, Faculty of Business and Economics

Date Written: August 17, 2017

Abstract

We propose a new method of estimating economic uncertainty, using dispersions of forecasts of a wide range of financial, activity and inflation variables from both household and professional surveys at various frequencies. With a mixed-frequency state-space model, we construct ex-ante macroeconomic uncertainty estimates of the one-year ahead expected state of the economy. Impulse responses show uncertainty shocks lead to a contraction in economic activity, and monetary policy expansion reduces uncertainty, implying that endogenous uncertainty is an additional channel for counter-cyclical monetary policy.

Keywords: economic uncertainty, survey data, mixed frequency, state-space model

JEL Classification: D80, E66, E50, C81

Suggested Citation

Sheen, Jeffrey and Wang, Ben Zhe, Estimating Macroeconomic Uncertainty from Surveys - A Mixed Frequency Approach (August 17, 2017). Available at SSRN: https://ssrn.com/abstract=3020697 or http://dx.doi.org/10.2139/ssrn.3020697

Jeffrey Sheen

Macquarie University ( email )

Department of Economics
Macquarie University
Sydney, NSW 2109
Australia
+61 2 9850 7287 (Phone)
+61 2 9850 8324 (Fax)

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Macquarie University, Faculty of Business and Economics ( email )

Australia

Ben Zhe Wang (Contact Author)

Macquarie University, Faculty of Business and Economics ( email )

Australia

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