The Measurement and Transmission of Macroeconomic Uncertainty: Evidence from the U.S. and BRIC Countries

Abstract

We propose a new measure of macroeconomic uncertainty that incorporates a rich information set from U.S. SPF density forecasts. Our measure has two key advantages over traditional measures:

(i) it reflects the subjective perceptions of market participants;

(ii) it is an ex ante measure that does not require the knowledge of realized outcomes.

We study the features of this measure of macroeconomic uncertainty and explore its impact on real economic activities within U.S. and its spillover effects for BRIC countries.

Keywords: BRIC, Perceived Uncertainty, Survey of Professional Forecasters

JEL Classification: E32, F62