We introduce a novel measure of uncertainty that is based on a business survey in which firms are asked directly how certain
or uncertain they are. So far the literature has tried to capture economic uncertainty indirectly by means of expectation
errors or the extent of disagreement. Our direct measure of economic uncertainty has a decent contemporaneous correlation
with various indirect measures, its informational content is though different. Across all uncertainty measures, shocks to
uncertainty trigger effects in GDP of opposite sign, however, the indirect measures tend to significantly underestimate the
effects on GDP and other macroeconomic aggregates.
Research group:Macroeconomics and Public Finance – Industrial, Innovation and International Economics
