Arbeitspapier

Assessing the economic content of direct and indirect business uncertainty measures

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We introduce a novel measure of uncertainty that is based on a business survey in which firms are asked directly how certain or uncertain they are. So far the literature has tried to capture economic uncertainty indirectly by means of expectation errors or the extent of disagreement. Our direct measure of economic uncertainty has a decent contemporaneous correlation with various indirect measures, its informational content is though different. Across all uncertainty measures, shocks to uncertainty trigger effects in GDP of opposite sign, however, the indirect measures tend to significantly underestimate the effects on GDP and other macroeconomic aggregates.

Sprache
Englisch

Erschienen in
Series: WIFO Working Papers ; No. 576

Klassifikation
Wirtschaft
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Financial Markets and the Macroeconomy
Data Collection and Data Estimation Methodology; Computer Programs: General
Thema
Uncertainty shocks
Aggregate fluctuations
Firm dispersion
Surveys of expectations

Ereignis
Geistige Schöpfung
(wer)
Glocker, Christian
Hölzl, Werner
Ereignis
Veröffentlichung
(wer)
Austrian Institute of Economic Research (WIFO)
(wo)
Vienna
(wann)
2019

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Glocker, Christian
  • Hölzl, Werner
  • Austrian Institute of Economic Research (WIFO)

Entstanden

  • 2019

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