Agreed and disagreed uncertainty
When agents’ information is imperfect and dispersed, existing measures of macroeconomic uncertainty based on the forecast error variance have two distinct drivers: the variance of the economic shock and the variance of the information dispersion. The former driver increases uncertainty and reduces a...
| Main Authors: | , , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
University of Oxford
2023
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| _version_ | 1797110373728387072 |
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| author | Gambetti, L Korobilis, D Tsoukalas, JD Zanetti, F |
| author_facet | Gambetti, L Korobilis, D Tsoukalas, JD Zanetti, F |
| author_sort | Gambetti, L |
| collection | OXFORD |
| description | When agents’ information is imperfect and dispersed, existing measures of macroeconomic uncertainty based on the forecast error variance have two distinct drivers: the variance of the economic shock and the variance of the information dispersion. The former driver increases uncertainty and reduces agents’ disagreement (agreed uncertainty). The latter increases both uncertainty and disagreement (disagreed uncertainty). We use these implications to identify empirically the effects of agreed and disagreed uncertainty shocks, based on a novel measure of consumer disagreement derived from survey expectations. Disagreed uncertainty has no discernible economic effects and is benign for economic activity, but agreed uncertainty exerts significant depressing effects on a broad spectrum of macroeconomic indicators. |
| first_indexed | 2024-03-07T07:54:05Z |
| format | Working paper |
| id | oxford-uuid:23cbc248-2373-40f7-9282-dadfae832565 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T07:54:05Z |
| publishDate | 2023 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:23cbc248-2373-40f7-9282-dadfae8325652023-08-14T14:39:39ZAgreed and disagreed uncertaintyWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:23cbc248-2373-40f7-9282-dadfae832565EnglishSymplectic ElementsUniversity of Oxford2023Gambetti, LKorobilis, DTsoukalas, JDZanetti, FWhen agents’ information is imperfect and dispersed, existing measures of macroeconomic uncertainty based on the forecast error variance have two distinct drivers: the variance of the economic shock and the variance of the information dispersion. The former driver increases uncertainty and reduces agents’ disagreement (agreed uncertainty). The latter increases both uncertainty and disagreement (disagreed uncertainty). We use these implications to identify empirically the effects of agreed and disagreed uncertainty shocks, based on a novel measure of consumer disagreement derived from survey expectations. Disagreed uncertainty has no discernible economic effects and is benign for economic activity, but agreed uncertainty exerts significant depressing effects on a broad spectrum of macroeconomic indicators. |
| spellingShingle | Gambetti, L Korobilis, D Tsoukalas, JD Zanetti, F Agreed and disagreed uncertainty |
| title | Agreed and disagreed uncertainty |
| title_full | Agreed and disagreed uncertainty |
| title_fullStr | Agreed and disagreed uncertainty |
| title_full_unstemmed | Agreed and disagreed uncertainty |
| title_short | Agreed and disagreed uncertainty |
| title_sort | agreed and disagreed uncertainty |
| work_keys_str_mv | AT gambettil agreedanddisagreeduncertainty AT korobilisd agreedanddisagreeduncertainty AT tsoukalasjd agreedanddisagreeduncertainty AT zanettif agreedanddisagreeduncertainty |