Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148112
Authors: 
Jo, Soojin
Sekkel, Rodrigo
Year of Publication: 
2016
Series/Report no.: 
Bank of Canada Staff Working Paper 2016-5
Abstract: 
We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of different economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a realtime subjective measure of uncertainty in a simple framework. We jointly model and estimate macroeconomic (common) and indicator-specific uncertainties of four indicators, using a factor stochastic volatility model. Our macroeconomic uncertainty has three major spikes, aligned with the 1973-75, 1980, and 2007-09 recessions, while other recessions were characterized by increases in indicator-specific uncertainties. We also demonstrate for the first time in the literature that the selection of data vintages substantially affects the relative size of jumps in estimated uncertainty series. Finally, our macroeconomic uncertainty has a persistent negative impact on real economic activity, rather than producing "wait-and-see" dynamics.
Subjects: 
Business fluctuations and cycles
Econometric and statistical methods
JEL: 
C38
E17
E32
Document Type: 
Working Paper

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