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Model and survey estimates of the term structure of US macroeconomic uncertainty

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  • Clements, Michael P.
  • Galvão, Ana Beatriz

Abstract

Survey data on macro-forecasters suggest that their assessments of future output growth and inflation uncertainty tend to be too high. We find that model estimates of the term structure of ex ante or perceived macro uncertainty are more in line with ex post RMSE measures than are the survey respondents’ perceptions. At shorter horizons, the models’ assessments of the uncertainty characterising the outlook are lower than those indicated by the survey data histograms, and closer to the RMSE estimates. Recent developments in econometric modelling ensure that the models’ information sets line up with the timing of information available to the survey respondents, thus enabling a fair comparison.

Suggested Citation

  • Clements, Michael P. & Galvão, Ana Beatriz, 2017. "Model and survey estimates of the term structure of US macroeconomic uncertainty," International Journal of Forecasting, Elsevier, vol. 33(3), pages 591-604.
    • Handle: RePEc:eee:intfor:v:33:y:2017:i:3:p:591-604
    DOI: 10.1016/j.ijforecast.2017.01.004
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    3. Oscar Claveria, 2020. "“Measuring and assessing economic uncertainty”," AQR Working Papers 2012003, University of Barcelona, Regional Quantitative Analysis Group, revised Jul 2020.
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