Uncertainty and Economic Activity: Evidence from Business Survey Data

• 成果类型: Article
• 署名作者: Bachmann, Ruediger; Elstner, Steffen; Sims, Eric R.
• 署名单位: RWTH Aachen University; National Bureau of Economic Research; Leibniz Association; Ifo Institut; University of Notre Dame; National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.5.2.217
• 发表日期: 2013
• 页码: 217-249
• 关键词: investment; DISAGREEMENT; demand; volatility; inflation; consensus; output; RISK

摘要

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. (JEL C53, C83, D81, E23, E27, E32, E37)