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Measuring macroeconomic disagreement – A mixed frequency approach

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  • Sheen, Jeffrey
  • Wang, Ben Zhe

Abstract

We propose a new measure of macroeconomic disagreement, 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 macroeconomic disagreement estimates of the one-year ahead expected state of the economy. Impulse responses show disagreement shocks lead to a contraction in economic activity.

Suggested Citation

  • Sheen, Jeffrey & Wang, Ben Zhe, 2021. "Measuring macroeconomic disagreement – A mixed frequency approach," Journal of Economic Behavior & Organization, Elsevier, vol. 189(C), pages 547-566.
    • Handle: RePEc:eee:jeborg:v:189:y:2021:i:c:p:547-566
    DOI: 10.1016/j.jebo.2021.07.011
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    More about this item

    Keywords

    Macroeconomic disagreement; Economic uncertainty; Survey data; Mixed frequency; State-space model;
    All these keywords.

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access

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