Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions
提出基于专业预测者调查的即时预测和预测误差分布来度量宏观经济不确定性的新指数，并与现有指数比较其宏观经济影响。
We propose new indices to measure macroeconomic uncertainty. The indices measure how unexpected a realization of a representative macroeconomic variable is relative to the unconditional forecast error distribution. We use forecast error distributions based on the nowcasts and forecasts of the Survey of Professional Forecasters. We further compare the new indices with those proposed in the literature and assess their macroeconomic impact.