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Measuring Macroeconomic Uncertainty: US Inflation and Output Growth

We find that model estimates of the term structure of ex ante or perceived macro uncertainty are more in line with realized uncertainty than survey respondents perceptions for both inflation and output growth. Survey estimates contain short-term variation in short-horizon uncertainty which is less evident in the model-based estimates. We consider the extent to which these short-term variations coincide with short-term movements in stock market uncertainty.

We fi?nd that model estimates of the term structure of ex ante or perceived macro uncertainty are more in line with realized uncertainty than survey respondents ?perceptions for both infl?ation and output growth. Survey estimates contain short-term variation in short-horizon uncertainty which is less evident in the model-based estimates. We consider the extent to which these short-term variations coincide with short-term movements in stock market uncertainty.
Published on 1st June 2014
Authors Professor Michael Clements, Ana Beatriz Galvão
Series Reference ICM-2014-04