Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises

Two daily, real-time, real-activity indexes are constructed for the United States, euro area, United Kingdom, Canada, and Japan: (i) a surprise index summarizing recent economic data surprises and measuring optimism/pessimism about the state of the economy, and (ii) an uncertainty index measuring un...

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Veröffentlicht in:	Journal of monetary economics 2016-09, Vol.82, p.1-19
1. Verfasser:	Scotti, Chiara
Format:	Artikel
Sprache:	eng
Schlagworte:	Business cycle Business cycles Dynamic factor model Economic activity Forecasting weights International State space model Studies Uncertainty
Online-Zugang:	Volltext
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