How Well Does Uncertainty Forecast Economic Activity?

IF 1.2 3区 经济学 Q3 BUSINESS, FINANCE
JIAWEN XU, JOHN ROGERS
{"title":"How Well Does Uncertainty Forecast Economic Activity?","authors":"JIAWEN XU, JOHN ROGERS","doi":"10.1111/jmcb.13123","DOIUrl":null,"url":null,"abstract":"We evaluate the forecasting ability of several popular measures of uncertainty. We construct new real-time versions of both macro-economic and financial uncertainty, and analyze them together with their <i>ex post</i> counterparts. We find some explanatory power in all uncertainty measures, with relatively good performance by <i>ex post</i> macro-economic and financial uncertainty. However, real-time versions perform only about as well as other uncertainty measures such as economic policy uncertainty (EPU), a finding we relate to data revisions in the construction of <i>ex post</i> uncertainty. Real-time data and estimation considerations are highly consequential, owing to look-ahead bias. Real-time uncertainty forecasts real-time outcome variables better than it forecasts <i>ex post</i> revised outcome variables.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"19 1","pages":""},"PeriodicalIF":1.2000,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Money Credit and Banking","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1111/jmcb.13123","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

Abstract

We evaluate the forecasting ability of several popular measures of uncertainty. We construct new real-time versions of both macro-economic and financial uncertainty, and analyze them together with their ex post counterparts. We find some explanatory power in all uncertainty measures, with relatively good performance by ex post macro-economic and financial uncertainty. However, real-time versions perform only about as well as other uncertainty measures such as economic policy uncertainty (EPU), a finding we relate to data revisions in the construction of ex post uncertainty. Real-time data and estimation considerations are highly consequential, owing to look-ahead bias. Real-time uncertainty forecasts real-time outcome variables better than it forecasts ex post revised outcome variables.
不确定性对经济活动的预测效果如何?
我们评估了几种流行的不确定性测量方法的预测能力。我们构建了宏观经济和金融不确定性的新实时版本,并将其与事后版本一起进行分析。我们发现所有不确定性指标都有一定的解释能力,其中事后宏观经济和金融不确定性指标的表现相对较好。然而,实时版本的表现仅与经济政策不确定性(EPU)等其他不确定性指标相当,我们将这一发现与事后不确定性构建过程中的数据修正有关。由于前瞻性偏差的存在,实时数据和估计方面的考虑非常重要。实时不确定性对实时结果变量的预测优于对事后修正结果变量的预测。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
CiteScore
2.90
自引率
6.70%
发文量
98
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信