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Empirical Economics

, Volume 53, Issue 1, pp 41–62 | Cite as

Macroeconomic uncertainty indices for the Euro Area and its individual member countries

  • Barbara RossiEmail author
  • Tatevik Sekhposyan
Article

Abstract

This paper introduces the Rossi and Sekhposyan (Am Econ Rev 105(5): 650–655, 2015) uncertainty index for the Euro Area and its member countries. The index captures how unexpected a forecast error associated with a realization of a macroeconomic variable is relative to the unconditional distribution of forecast errors. Furthermore, it can differentiate between upside and downside uncertainty, which could be relevant for addressing a variety of economic questions. The index is particularly useful since it can be constructed for any country/variable for which point forecasts and realizations are available. We show the usefulness of the index in studying the heterogeneity of uncertainty across Euro Area countries as well as the spillover effects via a network approach.

Keywords

Uncertainty Uncertainty index Survey of Professional Forecasters Euro Area macroeconomy Spillovers 

JEL Classification

C18 E01 E30 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2017

Authors and Affiliations

  1. 1.ICREA-Universitat Pompeu Fabra, Barcelona GSE and CREIBarcelonaSpain
  2. 2.Texas A&M UniversityCollege StationUSA

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