Macroeconomic uncertainty indices based on nowcast and forecast error distributions

By Barbara Rossi, Tatevik Sekhposyan. 2015

283 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0dbdd0c98b0659e5a2403c02008cb8fdadc26302

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In Economics and Econometrics

In Management Science and Operations Research

Citations in the corpus

Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound (2017, unknown): “However, as pointed out by Mittnik (1990), Granger (1998), Aruoba, Bucola, and Schorfheide (2013), and Ruge-Murcia (2015), multivariate GAR models might become unstable when squares or higher powers of the interactions terms are included among the covariates, and it is in general di¢ cult to impose…”
Macroeconomic Uncertainty Through the Lens of Professional Forecasters (2019, unknown): “Rossi and Sekhposyan (2015) used forecast surveys and econometricmodels for GDP and inflation to construct an uncertainty index from the unconditional historical distribution of forecast errors.”
A new economic policy uncertainty index for Spain (2019, unknown): “See, among others, indexes based on forecast errors (Jurado et al., 2015; Rossi and Sekhposyan, 2015; Huang et al., 2018; Shin et al., 2018; Sakutukwa and Yang, 2018), on Google searches (Donadelli, 2015), on disagreement between agents’ expectations (Bachmann et al., 2013).”
On Measuring Uncertainty and its Impact on Investment: Cross-Country Evidence from the Euro Area (2017, methodology): “The final index is computed as Uy∗jt (h) = 0.5 + |U y jt(h)− 0.5|.12 In their application, Rossi and Sekhposyan (2015) focus on a single macroeconomic series (usually GDP) to compute the uncertainty index which we, however, consider as ill-suited in the current setup.”
Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test (2015, background): “Naturally, the literature on predictability of exchange rate returns and volatility is voluminous to say the least, with detailed literature review provided by Rossi and Sekhposyan (2015) and Pilbeam and Langeland (2015).”
Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test (2016, methodology): “We measure economic and political uncertainty using the widely-studied uncertainty indexes constructed by Baker et al. (2015), Jurado et al. (2015), and Rossi and Sekhposyan (2015).”
Identifying Uncertainty Shocks Using the Price of Gold (2018, unknown): “2For example Dovern et al. (2012); Mankiw et al. (2003); Baker et al. (2013); Scotti (2013); Jurado et al. (2015); Rossi and Sekhposyan (2015); Bachmann et al. (2013).”
Measuring Economic Uncertainty and Its Effects (2017, unknown): “32 Rossi and Sekhposyan (2015) take a similar approach.”