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主讲人 |
Ben Zhe Wang |
简介 |
We propose a new method of measuring economic uncertainty, using dispersions of forecasts from both household and professional surveys of various frequencies. With a mixed-frequency state-space model, we construct an uncertainty measure of the perceived current state of the US economy and an uncertainty measure of the one-year ahead expected state of the economy. Although distinctively constructed, we show our measures of uncertainty are highly correlated with most other existing measures. Impulse responses show uncertainty shocks lead to a contraction in economic activity, and monetary policy expansion reduces uncertainty, implying endogenous uncertainty is an additional channel for countercyclical monetary policy. |
