Replication data for: Uncertainty and Economic Activity: Evidence from Business Survey Data

Principal Investigator(s): View help for Principal Investigator(s) Rüdiger Bachmann; Steffen Elstner; Eric R. Sims

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aej_macro_2011_150_replication			08/03/2019 06:23:AM
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Project Citation:

Project Description

Summary: This paper uses survey expectations data to construct empirical proxies for time-varying business-level uncertainty. Access to the micro data from the German IFO Business Climate Survey permits construction of uncertainty measures based on both ex ante disagreement and ex post forecast errors. Ex ante disagreement is strongly correlated with dispersion in ex post forecast errors. Surprise movements in either measure lead to significant reductions in production that abate fairly quickly. We extend our analysis to US data, measuring uncertainty with forecast disagreement from the Business Outlook Survey. Surprise increases in forecast dispersion lead to more persistent reductions in production than in the German data. (JEL C53, C83, D81, E23, E27, E32, E37)

Scope of Project

JEL Classification:
      E32 Business Fluctuations • Cycles
      E37 Forecasting and Simulation: Models and Applications
      C53 Forecasting and Prediction Methods • Simulation Methods
      D81 Criteria for Decision-Making under Risk and Uncertainty
      E23 Production
      C83 Survey Methods • Sampling Methods
      E27 Forecasting and Simulation: Models and Applications

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V1 [2019-08-03]

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