Measuring macroeconomic disagreement – A mixed frequency approach

Jeffrey Sheen, Ben Zhe Wang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

We propose a new measure of macroeconomic disagreement, using dispersions of forecasts of a wide range of financial, activity and inflation variables from both household and professional surveys at various frequencies. With a mixed-frequency state-space model, we construct macroeconomic disagreement estimates of the one-year ahead expected state of the economy. Impulse responses show disagreement shocks lead to a contraction in economic activity.
Original languageEnglish
Pages (from-to)547-566
Number of pages20
JournalJournal of Economic Behavior and Organization
Volume189
DOIs
Publication statusPublished - Sep 2021

Keywords

  • Macroeconomic disagreement
  • Economic uncertainty
  • Survey data
  • Mixed frequency
  • State-space model

Fingerprint

Dive into the research topics of 'Measuring macroeconomic disagreement – A mixed frequency approach'. Together they form a unique fingerprint.

Cite this