Uncertainty and Economic Activity: Evidence from Business Survey Data
利用德国IFO商业景气调查的微观数据，构建了基于事前分歧和事后预测误差的不确定性指标，发现不确定性意外上升会显著且较快地减少生产；美国数据则显示更持久的影响。
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.