How Well Does Uncertainty Forecast Economic Activity?
评估了多种不确定性指标对经济活动的预测能力，发现事后宏观经济和金融不确定性表现较好，但实时版本与其他指标（如经济政策不确定性）表现相当，且实时数据对实时结果变量的预测优于对事后修订变量的预测。
Abstract We evaluate the forecasting ability of several popular measures of uncertainty. We construct new real‐time versions of both macro‐economic and financial uncertainty, and analyze them together with their ex post counterparts. We find some explanatory power in all uncertainty measures, with relatively good performance by ex post macro‐economic and financial uncertainty. However, real‐time versions perform only about as well as other uncertainty measures such as economic policy uncertainty (EPU), a finding we relate to data revisions in the construction of ex post uncertainty. Real‐time data and estimation considerations are highly consequential, owing to look‐ahead bias. Real‐time uncertainty forecasts real‐time outcome variables better than it forecasts ex post revised outcome variables.