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Economic Uncertainty from Business Tendency Surveys: The Peruvian case

Author

Listed:
  • Ana Paola Gutierrez

    (Banco Central de Reserva del Perú)

  • Luis-Gonzalo Llosa

    (Banco Central de Reserva del Perú)

  • Juan José Tang

    (Banco Central de Reserva del Perú)

Abstract

We develop novel survey-based measures of economic uncertainty using firm-level data from Peru’s Survey of Macroeconomic Expectations. These proxies, based on forecast dispersion and forecast errors, rise sharply during major domestic and global shocks, particularly the COVID-19 pandemic. Using Vector Autoregressions (VAR), we identify uncertainty shocks and estimate their macroeconomic effects. Such shocks are contractionary, leading to declines in output, investment, and employment, as well as currency depreciation and lower interest rates. Investment exhibits the largest and most immediate response, while employment adjusts more gradually. The results underscore the macroeconomic relevance of survey-based uncertainty measures in emerging market economies.

Suggested Citation

  • Ana Paola Gutierrez & Luis-Gonzalo Llosa & Juan José Tang, 2025. "Economic Uncertainty from Business Tendency Surveys: The Peruvian case," Working Papers 2025-024, Banco Central de Reserva del Perú.
    • Handle: RePEc:rbp:wpaper:2025-024
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    File URL: https://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2425/documento-de-trabajo-024-2025.pdf
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    Keywords

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    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C83 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Survey Methods; Sampling Methods
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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