Measures of Macroeconomic Shocks and Uncertainty for Asia-Pacific Economies

We develop standardized time-series measures of shocks and uncertainty for output growth and inflation across 14 Asia-Pacific economies using data from Consensus Economics survey of professional economic forecasters. They are based on changes in mean forecasts and standard deviations, adjusted for intra-year patterns that arise from the annual-average percent changes basis of the data. As an example of how our shock measures may be used, we apply the vector autoregression method of sign restrictions to decompose output growth and inflation shocks into fundamental demand and supply shocks. Those shocks and our uncertainty measures align well with major economic events such as the Asian Financial Crisis, the COVID-19 pandemic, and geopolitical conflicts. We show that our uncertainty measures most closely reflect the concept of macroeconomic uncertainty, with apparent differences to established economic policy uncertainty measures across all comparable economies, but a close relationship with two well-known macroeconomic uncertainty measures produced only for the United States. Hence, extending the measures of macroeconomic uncertainty to all 14 economies in our analysis, along with the shocks for those economies, creates a valuable dataset for economic policy setting and empirical research.