Uncertainty and Economic Activity: Evidence from Business Survey Data

American Economic Journal: Macroeconomics - Tập 5 Số 2 - Trang 217-249 - 2013
Rüdiger Bachmann1, Steffen Elstner2, Eric Sims3
1RWTH-Aachen University, Templergraben 64, Rm. 513, 52062 Aachen, Germany, National Bureau of Economic Research, IFO Institute, and CESifo.
2Ifo Institute Business Cycle Analyses and Surveys, Poschingerstrasse 5, 81679 Munich, Germany.
3University of Notre Dame, Department of Economics, 434 Flanner Hall, Notre Dame, IN 46556, National Bureau of Economic Research, and IFO Institute.

Tóm tắt

This paper uses survey expectations data to construct empirical proxies for time-varying business-level uncertainty. Access to the micro data from the German IFO Business Climate Survey permits construction of uncertainty measures based on both ex ante disagreement and ex post forecast errors. Ex ante disagreement is strongly correlated with dispersion in ex post forecast errors. Surprise movements in either measure lead to significant reductions in production that abate fairly quickly. We extend our analysis to US data, measuring uncertainty with forecast disagreement from the Business Outlook Survey. Surprise increases in forecast dispersion lead to more persistent reductions in production than in the German data. (JEL C53, C83, D81, E23, E27, E32, E37)

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Thông tin
Thông tin xuất bản

American Economic Journal: Macroeconomics

Tập 5 Số 2

217-249

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