Estimating Macroeconomic Uncertainty from Surveys - A Mixed Frequency Approach
28 Pages Posted: 21 Aug 2017
Date Written: August 17, 2017
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
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