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The measurement and transmission of macroeconomic uncertainty: Evidence from the U.S. and BRIC countries

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  • Liu, Yang
  • Sheng, Xuguang Simon

Abstract

We propose a new measure of macroeconomic uncertainty that incorporates a rich information set from U.S. SPF density forecasts. Our measure has two key advantages over traditional measures: (i) it reflects the subjective perceptions of market participants; and (ii) it is an ex ante measure that does not require a knowledge of realized outcomes. We study the features of this measure of macroeconomic uncertainty and explore its impact on real economic activities within the U.S., as well as its spillover effects for BRIC countries.

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  • Liu, Yang & Sheng, Xuguang Simon, 2019. "The measurement and transmission of macroeconomic uncertainty: Evidence from the U.S. and BRIC countries," International Journal of Forecasting, Elsevier, vol. 35(3), pages 967-979.
    • Handle: RePEc:eee:intfor:v:35:y:2019:i:3:p:967-979
    DOI: 10.1016/j.ijforecast.2019.05.001
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    Cited by:

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    2. Carola Binder & Tucker S. Mcelroy & Xuguang S. Sheng, 2022. "The Term Structure of Uncertainty: New Evidence from Survey Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 39-71, February.
    3. Wright, Jonathan H., 2019. "Some observations on forecasting and policy," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1186-1192.
    4. Chada, Swechha, 2023. "Economic policy uncertainties and institutional ownership in India," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
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    6. Li, Zhenghui & Zhong, Junhao, 2020. "Impact of economic policy uncertainty shocks on China's financial conditions," Finance Research Letters, Elsevier, vol. 35(C).

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