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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Project Citation:

Bachmann, Rüdiger, Elstner, Steffen, and Sims, Eric R. Replication data for: Uncertainty and Economic Activity: Evidence from Business Survey Data. Nashville, TN: American Economic Association [publisher], 2013. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114269V1

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:
      C53 Forecasting Models; Simulation Methods
      C83 Survey Methods; Sampling Methods
      D81 Criteria for Decision-Making under Risk and Uncertainty
      E23 Macroeconomics: Production
      E27 Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
      E32 Business Fluctuations; Cycles
      E37 Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications

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Published Versions

V1 [2019-10-12]

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