The ECB's survey of professional forecasters and financial market volatility in the euro area
Since 1999, the European Central Bank (ECB) conducts a quarterly survey of the economic outlook in the euro area among professional forecasters. This article investigates the relationship between macroeconomic uncertainty, measured as the dispersion in economic forecasts across survey participants, and financial market volatility. We find a significant positive short-run relationship between stock market volatility and uncertainty about the future level of economic activity. In contrast, bond market volatility is mainly affected by inflation uncertainty. In addition, we find long-run cointegration relationships between asset market volatilities and macroeconomic uncertainties. We also investigate the sensitivity of our results to the inclusion of the extremely volatile post-Lehman period.
Volume (Year): 18 (2011)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|
When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:18:y:2011:i:1:p:11-15. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.