Measuring macroeconomic disagreement – A mixed frequency approach

Jeffrey Sheen; Ben Zhe Wang

doi:10.1016/j.jebo.2021.07.011

Measuring macroeconomic disagreement – A mixed frequency approach

Jeffrey Sheen, Ben Zhe Wang^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

10 Citations (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 language	English
Pages (from-to)	547-566
Number of pages	20
Journal	Journal of Economic Behavior and Organization
Volume	189
DOIs	https://doi.org/10.1016/j.jebo.2021.07.011
Publication status	Published - Sept 2021

Keywords

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

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10.1016/j.jebo.2021.07.011

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title = "Measuring macroeconomic disagreement – A mixed frequency approach",

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.",

keywords = "Macroeconomic disagreement, Economic uncertainty, Survey data, Mixed frequency, State-space model",

author = "Jeffrey Sheen and Wang, \{Ben Zhe\}",

year = "2021",

month = sep,

doi = "10.1016/j.jebo.2021.07.011",

language = "English",

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journal = "Journal of Economic Behavior and Organization",

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T1 - Measuring macroeconomic disagreement – A mixed frequency approach

AU - Sheen, Jeffrey

AU - Wang, Ben Zhe

PY - 2021/9

Y1 - 2021/9

N2 - 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.

AB - 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.

KW - Macroeconomic disagreement

KW - Economic uncertainty

KW - Survey data

KW - Mixed frequency

KW - State-space model

UR - https://www.scopus.com/pages/publications/85111312648

U2 - 10.1016/j.jebo.2021.07.011

DO - 10.1016/j.jebo.2021.07.011

M3 - Article

SN - 0167-2681

VL - 189

SP - 547

EP - 566

JO - Journal of Economic Behavior and Organization

JF - Journal of Economic Behavior and Organization

ER -

Measuring macroeconomic disagreement – A mixed frequency approach

Abstract

Keywords

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