Macroeconomic Uncertainty Through the Lens of Professional Forecasters
基于美国专业预测者调查的预测误差，用因子随机波动模型估计宏观经济和指标特定不确定性，发现其与三次大衰退吻合，并对经济活动有持续负面影响。
We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of various economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time measure of uncertainty surrounding subjective forecasts in a simple framework. We jointly model and estimate macroeconomic (common) and indicator-specific uncertainties of four indicators, using a factor stochastic volatility model. Our macroeconomic uncertainty estimates have three major spikes has three major spikes aligned with the 1973–1975, 1980, and 2007–2009 recessions, while other recessions were characterized by increases in indicator-specific uncertainties. We also show that the selection of data vintages affects the estimates and relative size of jumps in estimated uncertainty series. Finally, our macroeconomic uncertainty has a persistent negative impact on real economic activity, rather than producing “wait-and-see” dynamics.