Macroeconomic Uncertainty Through the Lens of Professional Forecasters
从专业预测者视角衡量宏观经济不确定性
We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of various economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time measure of uncertainty surrounding subjective forecasts in a simple framework. We jointly model and estimate macroeconomic (common) and indicator-specific uncertainties of four indicators, using a factor stochastic…