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Measuring Macroeconomic Uncertainty: US Inflation and Output Growth

Author

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  • Michael P. Clements

    (ICMA Centre, Henley Business School, University of Reading)

  • Ana Beatriz Galvão

    (University of Warwick)

Abstract

We find that model estimates of the term structure of ex ante or perceived macro uncertainty are more in line with realized uncertainty than survey respondents' perceptions for both inflation and output growth. Survey estimates contain short-term vari- ation in short-horizon uncertainty which is less evident in the model-based estimates. We consider the extent to which these short-term variations coincide with short-term movements in stock market uncertainty.

Suggested Citation

  • Michael P. Clements & Ana Beatriz Galvão, 2014. "Measuring Macroeconomic Uncertainty: US Inflation and Output Growth," ICMA Centre Discussion Papers in Finance icma-dp2014-04, Henley Business School, University of Reading.
    • Handle: RePEc:rdg:icmadp:icma-dp2014-04
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    References listed on IDEAS

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    Cited by:

    1. Hartmann, Matthias & Herwartz, Helmut & Ulm, Maren, 2017. "A comparative assessment of alternative ex ante measures of inflation uncertainty," International Journal of Forecasting, Elsevier, vol. 33(1), pages 76-89.
    2. Monique Reid & Pierre Siklos, 2024. "Firm Level Expectations and Macroeconomic Conditions: Underpinnings and Disagreement," CAMA Working Papers 2024-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Pierre L. Siklos, 2016. "Forecast Disagreement and the Inflation Outlook: New International Evidence," IMES Discussion Paper Series 16-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
    4. Siklos, Pierre, 2017. "What Has Publishing Inflation Forecasts Accomplished? Central Banks And Their Competitors," LCERPA Working Papers 0098, Laurier Centre for Economic Research and Policy Analysis, revised 01 Apr 2017.
    5. Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2017. "Density Forecasts With Midas Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(4), pages 783-801, June.
    6. Charemza, Wojciech & Díaz, Carlos & Makarova, Svetlana, 2019. "Quasi ex-ante inflation forecast uncertainty," International Journal of Forecasting, Elsevier, vol. 35(3), pages 994-1007.
    7. Milan Trajkovic, 2022. "Impact of macroeconomic stability on private fixed investments in selected countries of Central and Southeast Europe," Working Papers Bulletin 7, National Bank of Serbia.
    8. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.
    9. Kenichiro McAlinn, 2021. "Mixed‐frequency Bayesian predictive synthesis for economic nowcasting," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(5), pages 1143-1163, November.
    10. Carmen PINTILESCU & Mircea ASANDULUI & Elena-Daniela VIORICA & Danut-Vasile JEMNA, 2016. "Investigation On The Causal Relationship Between Inflation, Output Growth And Their Uncertainties In Romania," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 17, pages 71-89, June.

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    More about this item

    Keywords

    Ex ante and ex post uncertainty; Macro and stock market uncertainty; MIDAS models;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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