New uncertainty measures for the euro area using survey data

This paper presents three survey-based uncertainty indicators, which constitute further developments of similar, already existing measures. Their main merits are that they can be computed on the basis of publicly available time series, rather than hard-to-acquire micro data, and are derived from the assessments of actors in a multitude of economic sectors, rather than just a single one, which makes them particularly suitable to assess more comprehensively the impact of uncertainty on economic activity. Empirical analysis shows the indicators to be counter-cyclical with major uncertainty peaks coinciding with low growth. Moreover, shocks to our uncertainty measures are found to be a quantitatively important driver of economic fluctuations, leading to a temporary reduction in real activity without any signs of overshooting. A comparison with other commonly used uncertainty proxies shows that the new indicators account for a much larger fraction of real GDP variability.