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Replication data for: Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions

Version
1
Resource Type
Dataset
Creator
  • Rossi, Barbara
  • Sekhposyan, Tatevik
Publication Date
2015-05-01
Description
  • Abstract

    We propose new indices to measure macroeconomic uncertainty. The indices measure how unexpected a realization of a representative macroeconomic variable is relative to the unconditional forecast error distribution. We use forecast error distributions based on the nowcasts and forecasts of the Survey of Professional Forecasters. We further compare the new indices with those proposed in the literature and assess their macroeconomic impact.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.p20151124 (Text)
Publications
  • Rossi, Barbara, and Tatevik Sekhposyan. American Economic Review, American Economic Review, 105, no. 5 (n.d.): 650–55. https://doi.org/10.1257/aer.p20151124.
    • ID: 10.1257/aer.p20151124 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Rossi, Barbara; Sekhposyan, Tatevik (2015): Replication data for: Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E113428V1