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Title: On the aggregation of survey-based economic uncertainty indicators between different agents and across variables
Author: Clavería González, Óscar
Keywords: Incertesa
Desenvolupament econòmic
Enquestes de consum
Indicadors econòmics
Economic development
Consumer surveys
Economic indicators
Issue Date: Apr-2021
Publisher: Springer Nature Switzerland
Abstract: We analyse the effects of aggregating the level of disagreement in survey-based expectations. With this aim, we construct several indicators based on two metrics of disagreement: the standard deviation of the balance and a geometric measure of discrepancy. We use data from business and consumer surveys in eleven European countries and the Euro Area. We evaluate the dynamic response of economic growth to shocks in agents' uncertainty gauged by the discrepancy measures in a bivariate vector autoregressive framework. We find that while the effect on economic activity to a shock in aggregate discrepancy is always negative for firms' disagreement, the effect to consumers' disagreement is positive in all countries except Italy. To shed some light regarding the effect of aggregating disagreement both across variables and economic agents on forecast accuracy, we also examine the predictive performance of the discrepancy indicators, using them to generate out-of-sample forecasts of economic growth. We do not find evidence that the aggregation of disagreement improves forecast accuracy. These findings are especially relevant when using cross-sectional dispersion of survey-based expectations of firms and households.
Note: Versió postprint del document publicat a:
It is part of: Journal of Business Cycle Research, 2021, vol. 17, num. 1, p. 1-26
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ISSN: 2509-7962
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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